SPY Wheel Strategy with Volatility Gates and Trend Filters

Summary

This script models a share based version of a SPY options wheel. It sells covered calls against shares, selecting an out of the money strike according to a normal or high volatility setting, then treats assignment as occurring only when the relevant closing price passes the strike. After assignment, the default re-entry approach is to buy shares at the next open; an optional cash secured put route can instead wait for put assignment. The setup is intended for a daily SPY chart and uses a fixed share quantity.

Cash secured put entries can be gated by volatility, RSI, price relative to a long simple moving average and short exponential moving average, optional VWAP, and a manually toggled macro event block. Exit controls include closing after consecutive closes below the long average and an alert for a possible protective put after short average weakness. The excerpt explicitly says option premium profit and loss is not modeled, so it cannot represent the full wheel payoff or validate profitability. Its closing based assignment convention also omits intraday strike touches.

Key ideas

• The script represents a covered call and share re-entry cycle for SPY using share transactions.
• Call strikes vary between normal and high volatility modes, with assignment checked at the close.
• Optional cash secured put re-entry requires market, trend, momentum, and event gates to pass.
• A long moving average breach can trigger an emergency share exit, while short average weakness can raise a hedge alert.
• Option premiums are excluded, limiting the model's ability to represent full wheel returns.

Tags

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