Medium-term options selling in the US market. April 2022.

The break in publications was due to the fact that in January-February I was creating software for analyzing open interest in options, and at the end of February there was no time for work. I hope that I can get back to work.

Even though the post is called a mid-term sell, I opened a directional trade in SPY on March 29th and bought a 450/449 put spread in SPY with an expiry date of April 14th. In principle, it would be possible to sell, for example, the 480th calls. I was waiting for the price to approach the 462-465 range and move down from there to about the 450 level. At the level of 450, a zone of increased volatility can be expected.

Order SPY put spread 450-490

Open Interest in SPY options on March 29th:

Option open interest SPY 29 March 2020

So far, the software and the strategy of searching for strong levels are in the testing stage. The strategy is related to the analysis of open interest dynamics, gamma and delta hedging levels, expiring volumes in options, etc. It will allow you to more accurately determine strong levels. This will make it possible to sell options close to the levels or open directional trades.

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