Whenever the price is above the green line short PE only.
Why credit put ratios much more attractive than call ratios.
Conclusion: the author's conclude that YES there is risk premium in puts otms, which they call it "skew risk premium", and while almost half of implied skew observed in option prices of PEs is due to negative index volatility correlation the...
This strategy is developed based on my High Low Index SPY Top 40 indicator
Notes:
- this strategy is only developed for SPY on the 5 min chart . It seems to work with QQQ as well, but it isn't optimized for it
- P/L shown is based on 10 SPY option contracts, call or put, with strike price closest to the entry SPY price and expiry of 0 to 1 day. This...
