저자: AntonWallace · 외국인
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SPY와 QQQ의 0DTE 옵션을 비교한 교육 방송. QQQ는 IV가 SPY보다 약 22%(약 3포인트) 높아 프리미엄이 비싸며, 같은 하락폭일 때 SPY 풋옵션 수익률이 더 높음. 1 표준편차 수준 움직임에서는 IV 차이만큼 수익률 차이가 나 가격이 대체로 적정하게 형성됨을 보임. 꼬리 위험 베팅은 낮은 IV 기초자산이 유리하고, 매도 전략은 높은 IV 기초자산이 유리하다는 논지. 특정 종목 가격 방향에 대한 예측은 없음.
다듬은 글
we're going to talk about the difference between spy and q's because here's the thing most people don't or maybe not most people but some people may not be aware uh but the cues also have uh the zero DT options listed every single day so they have daily expirations just like the S&P 500 products now we've only done studies in the S&P 500 uh spy over the last few weeks with these zero DT options but thing is the cu's have them as well and this I thought would be a fantastic time to compare the same type of Moves Like if you were trying to scalp these and we're going to do these from the long side this is more applicable to the long but really it it goes for every single strategy if you have the cues which usually are more Rich right higher implied volatility than the Spy but what's the difference when you trade these zero da options in the higher IV underlying and the cool thing is is spy and Q are highly correlated so on days you could get the same down move in the Spy you're going to have the same down move in the cues what are the differences between those options and the zero day cycle given that the cues are richer to begin with and I think we we have never done that and I think when you apply the same type of logic you know to longer expiration options like you know you do Tesla versus the Euro in like the 45 days well we know you're going to pay you're going to sell more credit in Tesla it's going be a higher risk underly but how does that translate to the zero day options right that's the question Cool all right let's see so so right now and Beth we go back one side just wanted to point this out right now this these data I pulled just this morning right so right now the IV and the q's is about three points higher than the spies for the zero day options right uh that obviously will uh translate to a higher premium put now the Spy will have a higher credit because it's a much higher priced underline yeah but when you adjust for the implied volatility the qes have more premium about 3 points extra because the IV is three points higher um funny enough these all have some puts skew today uh in the zero options for some reason but I think that's pretty understandable okay yeah and you're generally going to see the cues with higher volatility I mean the the NASDAQ has generally higher volatility the NASDAQ and the Russell usually are the highest volatility of the four indices of uh spy in the q's or uh spy and diamonds being the lower end of the volatility so it's it's it's typical that you would see the q's implied volatility higher than spy exactly so let's go to the next slide and um what we're going to really ask today is okay on the day where spy and the q's retain their correlation so so here's the key we're going to intentionally cherry-pick some days where there was a huge down move in the spies and the q's both roughly the same magnitude okay MH um very similar price action the reason we're doing that is because as Traders whenever we see a down move in the markets right we usually always compare to okay well if the Spy is down what are Q's doing what is the brussell doing what's gold doing right we always try to compare to other assets and especially when we're trading these zero day options we want to say okay if the Spy is down 1% and the cues are down 1% what's the difference in those option prices what's the difference in those returns because we know that the q's had higher volatility to begin with so there has to be some difference and today we're going to look at exactly that so I think the results are going to be very interesting now the question is which Zer DT options been more expensive that's probably self-explanitory usually you know almost always going to be the cues um and when you have a move that exceeds the expected move what happen to those options now we're not going to look at butterfly strategies where nothing happens because obviously you're going to get a full profit on both the spies and the acces right it doesn't really matter if you do basically play outside the expected move plays or you can be short the options too you just take the opposite sign what is a difference in returns in those options when you have a move that exceeds the expected move on both cool okay all right let's take a look we're going to look at spies and qes compared to 25 Delta and at the money zero DT puts we're going to look at down days you could look at updates it's going to be very similar just flipped right remember you could do so many different things with these so we want to standardize as much as possible to look at one specific takeway right because when you start adding stuff it gets too confusing so um on the days where the spy and the que were both down 1% 2% and 3% from the trade price intraday so we're just going to say okay we put an option on we saw 1% move we take it off what's the return 2% move okay what's the return what's the return for 3% move right so we're going to compare the percentage return on the initial option price and the initial implied volatilities of the options so we're going to look at how much more expensive were those options when you put the trade on and then when you had the move which options moved more and by how much okay okay cherry picking looking at you know the hardest thing to time ever is you know these sort of moves you're talking about one two and basically three standard deviation moves here if you were able to time it exactly now I do want to mention something before we go into the results cherry picking in research does not necessarily mean it's bad research the point is to say what's the point of the research and the point here is not to say okay if you cherry pick 3% move you got a 900% return well okay great it doesn't matter right because we don't we don't know where the 3% move is coming coming the the the point is to show if we do have a 3% move what's the difference in the cues and the spies what's the difference in those those 25 Delta and the 50 Delta puts right we're comparing the numbers as opposed to looking at the raw numbers themselves and saying oh wow 600% move well okay but we're not looking at that specifically we're comparing the moves to the spies and accus okay so that's what I want to focus on it answers the question and I get this question all the time is like okay I think you know tomorrow or next week or something there is going to be a market crash what is the best way and the most profitable way to you know to play that sort of event right you're talking about a fraction of a percentage probability of happening but you're you want you have a hunch you want to play it this answer is a question of what your expectations should be of you know the potential profitability and it'll give you the best way to do that you know here's the way that you can play the tail it doesn't take away from the fact that it's still a very very low probability of happening but if you're playing it here's how you can do it exactly and and listen if you're playing the the options as as more of these zero day options come to other underlyings you're going to see a much bigger IV difference between SP and Tesla let's say you know or Bitcoin let's say right so if you're going to play for a down move you got to know what you're paying for because they are very different and you know this is a good starting example because we have data for both so ready for the results all right ready for the results yeah drum roll so for 25 Delta so we're gonna look at 25 Delta $50 to puts the results are going to be kind of similar but you know some subtle differences just wanted to get the whole Spectrum here for $25 Delta puts the one first thing I want to show you the IV in the q's was around 22% higher than it was in spies so Q's had IV about 33 the spies zero day options had IV about 27 so right off the bat you're seeing you're paying and what all that means is you're paying 22% more for that same premium price adjusted than the spies well what does that mean if you have the same percentage move well here's the thing if you have the same because comparing the same 1% 2% 3% moves the Spy had a significantly greater return on those options because the IV was less but we're comparing the same percentage move this is one of the biggest differences when you talk about IV if you're playing it to the long side right or you're playing to the short side it doesn't matter if there is a move that you compare the same move with low IV stock High IV stock those lower IV options will be significantly more sensitive to that same percentage move than the high iy options will why because you're paying more for the high iy options because the move is more likely so if you look at it down the line right spy for one down 1% move the $25 to put up 176% for the Q is only 150 for the uh down 2% 440 per only 2501 for spot right and so forth you can see on the right the most right hand side that the percentage difference between those moves is approximately between 20 and 75% greater for spy for the same percentage move okay but you're paying 22% more so what does that mean it means if you don't get those moves you're going to lose more on the q's options you're going to lose 22% more on the same one lot ful adjusted price I'm sorry price adjusted on the q's than you will spot you're paying more but your payoff is greater if you get the move right now now here's the cool part when you're down 1% now remember expected move if you look at it between spies and q's on a single day when volatility is about this much is about 1 and a half% m approximately that's the expected move okay here's the really cool kicker that you don't really you know get unless you like dig into this what's the IV difference about 22% right if you're down 1% how much more do you make on the spies about 177% the expected moves about 1.5% mhm so around 1.5% see IV cost premium be the same as the performance in the lower R under in the lower RV options it works so you're saying the options are perfectly priced really what you're saying exactly you're paying more and if you get the expected move you're going to make exactly more how much you paid it's a risk-reward linearity it's the same trade if you can p it except you're just paying a little bit more for the cues but it's the same thing as if you had bought 1.2 spy options if you could do that it'd be the same it it makes perfect sense and you could take it a step further and just to correlate this to like you know how we generally trade with short premium and around 30 or 40 days till expiration if you consider that these are the similar or the same underlying right you can see the the higher volatility underlying if if volatility is realized is going to be less of a loss if you're selling that premium versus something that's very low uh volatility or lower volatility where it realizes that tail sort of event and this is you know it it comes full circle in the sense that you know if you were if you were considering this is a 30 or 40-day option which one would you rather sell would you'd rather sell the The Q's because you have less of a draw down it's the same thing here of you know if you think a tail type event a not something that's not priced in you want the lower volatility underlying cuz those options are going to be much more volatile uh because they are priced in to no volatility if that makes sense and when you're when you're when you're trying to fade the expectation of volatility you want something that's as high as volatility as possible and that would in this circumstance be the NASDAQ exactly exactly so now here here's the cool thing as well as you get into the down 2% down 3% % of those are well beyond the expected move for both the NASDAQ and the Spy so of course you're going to have the Spy difference compared to the NASDAQ be significantly greater right because now you're taking a low volatility option and now you're giving it a two three four times the expected move move right and now of course you're going to see significant performance because well the qes you had a richer premium to begin with right but for those one to two expected move or one to two standard deviation moves you're going to see the premium be priced around the same as the outperformance that you that you got in the lower IV underlying right so it's an interesting way to look at it because as you get more of these options you're going to have to know what the difference is between something with an IV of 50 versus something with an IV of 25 and the difference is you pay more which means you're expected to to move more and if you move less you're going to lose more but if you move more it's you're likely to move more so that's why it's priced in right so it's all about that risk reward balance that's being realized beautiful all right let's go to the next slide we're going to take a look at the 50 Delta puts quickly here so notice the 50 Delta puts right there's a big difference between this and 25 Delta so first of all for the one standard deviation move which is about 1.2 1.5% you see the percentage differences between the options be close to the difference in IVs or we just talked about that 24% difference in IV a 27% difference in the actual realized move uh for the options when you see it now here's the difference 50 Delta puts are already closer to the money so what do you see you you see less of a tail impact so if you notice that down 2% down 3% those $50 Delta puts are only about a 50% difference between spies and q's if you go back to 25 Delta puts you see closer to 75% difference and that's only because again further out the money for a low volatility underlying means you're going to have a huge win if those you get that move but if you have a $50 support you're going to get win but it's going to be more expected so the differences are going to be less so everything we talk about in our research from the 45 day under options plays exactly the same the difference is that this happens on a daily basis so it looks different when you put the trade on but the mathematics work the same way that's the volatility smile Anton those at the money options those 50 Delta options this move you probably make more dollars on this move down because you have a your Delta option but from a percentage standpoint the the the tail options are going to explode in value and that's kind that's why you're seeing on the first SL that you're making a higher percentage on those options but the volatility of your p&l is zero or 100 whereas this one is more you know flat so to speak right and and again the key in this study is really to look at that difference column that percent diff column the last one on the right because remember the actual percentages by themselves you know like down 2% you make 277 per and the Spy 50 Delta puts okay great but the point is to say okay what's the difference between that and the q's which have a higher volatility that is reflected in that last column so when you look at that last column you want to compare okay how much is the IV difference versus when you have a down 1% move which is roughly the same as when a standard deviation they're around the same that's a huge takeway that means they're price perfectly if and now you look at what's the difference when you get the tail moves right and then you see okay it's bigger difference because lower volatility options tail move means bigger bigger explosion in price right so it there's a ton of stuff despite the you know seemingly simple study a lot of takeaways that I think are very applicable to people trading these good job good job all right take home slide six all right so for the q's zero DT options have been roughly 20 to 25% more expensive than spy on average okay obviously right right now the difference is a little bit smaller cuz IVs are down across the board uh the same percentage move between two underlyings will cause a higher percentage move in the lower IV option so if you're saying I think there's going to be a 1% drop in the market and you think that you know the difference in NASDAQ and spy is going to be great isn't going to be all that big you're going to want to trade the lower IB options right that's that it seems kind of simple but when you put the math around it it it it brings it home mhm and finally the difference in the percentage returns of the options are similar to to the percent difference in the option IVs when you have that one stand deviation move that basically shows that okay IV price is one expected move if you get one expected move what's the difference in the actual returns and they're basically the same as the difference in the implied volatilities which means that risk equals reward obviously any bigger move than that you're going to get paid any smaller move than that and you're going to lose on those higher IV options if you're long them so I like it next time you got to add beta in there and and totally match them to uh to each other because if you take beta into account you consider that the NASDAQ is usually more volatile than the Spy then is there a difference that'll be yeah exactly yeah this is I mean you could take this 10 different ways and sure maybe we'll do a series I'm going to ask you to put it on your on your radar Tom made a comment today when we're in confirm and send um when people saying like what option to sell and we were really talking about you know shorter dated options zero dated options maybe you can compare zero versus one day if you have the data on that he was saying to go just outside the expected move and sell those options I would like to see you from a strangle standpoint of view compare zero day to one day not like if it's a great strategy to do but if there's any Edge between that extra time value of a day you'll probably be able to go a strike out I'm assuming that you know let's say you've got a a $2 expected move in zero day you have a $3 expected move in in in one day you'll be able to go a strike out if that extra time is worth anything either closing it the next day or taking it to expiration do you know what I'm trying to say yeah you're kind of comparing calendars like if you it's the same thing as as looking at calendars in the sense but splitting the the zero and the one day the wings together yeah you're 100% correct how you got to do on the back end is your business but I would I would like to see that because that's a statement he's made a couple of times and let's see if it has any uh has any weight sound good to you sounds good to me awesome awesome thank you uh thank you Anton appreciate we're gonna take a quick 90 second break we'll come back we're gonna bring oh joy Nick you're gonna love this you'll be able to be on the show from the very beginning with my friend Mr Scott Sheridan tast trade World Headquarters we'll be back in 90 seconds for
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