We received a question from one of our customers asking how to set up the following two week SPY short put spread strategy in our backtester.

  • Sell a put spread with 30 delta / 15 delta
  • Sell price is 15% of max potential price
  • Sell it when VIX spikes
  • Exit if 80% of max profit is achieved
  • Exit if the loss equals to max profit
  • Roll into new short put spread if the stock price is at short price

Sell a put spread with 30 delta / 15 delta looks like this in the backtester:

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Sell price is 15% of max potential price: The max price potential is the difference between strikes. Here's how this looks in the backtester, note that for a credit spread the percentages are negative:

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Sell it when VIX spikes: We will consider a VIX spike as the price of the VIX going up at least 10% over the last week price. Here's what this looks like in the backtester:

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Exit if 80% of max profit is achieved:

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Exit if the loss equals to max profit: The max profit here is 80% (exit point) minus 15% (entry point) or 65% so we will enter a stop loss as below:

 

Roll into new short put spread if the stock price is at short price: We will use Exit Leg on Strike Trigger where we exit when the long put otm%>=1:

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Here is a link to the backtest above. You need to be logged into Wheel. You can get a free trial here.

More reading HERE.

 

 

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