SPY Wheel Strategy with VIX Modes and Conditional Put Re-entry

Summary

This script models a share-based version of a SPY wheel approach. It begins with a 100-share position, then simulates covered-call assignment using a strike set above the close. In normal VIX conditions, the strike is checked against the following session’s close; in high VIX conditions, it uses a same-session check. After assignment, the default is to buy shares again at the next open, with an optional cash-secured put re-entry mode.

Put re-entry requires six gates: price above long and short moving averages, RSI outside a configured band, VIX below its threshold, an optional VWAP check, and no manually marked macro-event block. The script also exits shares after consecutive closes below the long moving average and can flag a short-moving-average breach as a hedge alert. It offers settings and chart displays, but supplies no performance results. Its main limitation is explicit: option premiums and their profit or loss are not modeled, so the backtest represents share transactions and simplified assignment rules rather than full options returns.

Key ideas

• The strategy starts with a fixed share position and simulates covered-call assignment from closing prices and preset strike distances.
• High VIX selects a same-session call check, while ordinary conditions use the prior session’s strike.
• Optional put re-entry is allowed only when all enabled trend, RSI, volatility, VWAP, and macro filters pass.
• Consecutive closes below the long moving average trigger a full exit, while short moving-average weakness can raise a hedge alert.
• Because option premiums are omitted, the reported strategy behavior does not capture the complete economics of a wheel.

Tags

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