Monthly SPY Strategy Selling an ATM Straddle with Crash Protection

Summary

This algorithmic example describes a monthly volatility risk premium trade using SPY options and shares. It selects options with an expiry near one month, sells an at-the-money call and put to form a short straddle, and buys a put with a strike near 15% below the underlying price as crash protection. It also invests in the index and sizes the option positions using remaining margin and the underlying price.

The code illustrates contract selection and order placement, but it does not report backtest results or establish that the approach is profitable. Its implementation checks option data daily, enters only when the portfolio is not invested, and includes a liquidation condition tied to the portfolio's invested holdings. The example therefore offers a strategy sketch rather than a complete evaluation; readers would need to inspect its execution, sizing, exit behavior, and risk under changing market conditions.

Key ideas

• The strategy sells a roughly one-month at-the-money SPY straddle each cycle.
• It buys a put around 15% out of the money as downside insurance.
• The algorithm also holds SPY shares and sizes options according to available margin.
• The example supplies no performance results or evidence that the hedge offsets losses in practice.
• Its entry and liquidation logic should be reviewed before treating it as a complete strategy.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.