SPX Weekly Put Ladder

Weekly SPX put ladder (US has no monthly SPX expiries in Tradetron, so this runs weekly). On Monday, at the first minute between 09:45 and 10:30 ET when all three puts have a price, it buys the at-the-money put and sells a put 25 points lower (a debit spread), then sells a far put at about -0.06 delta to pay for it, all on that week's Friday expiry. It closes when SPX trades 1.5% above the bought strike (the puts have little value left), at 15:45 ET on Friday, or if the strategy loses Approx. $2,000 per multiplier. RISK: the far short put is uncovered, so the loss below it is not capped; this needs naked-put (Level 4) approval at your broker. Weeks with a Monday holiday are skipped; in a week with a Tuesday-Friday holiday the trade uses the next listed expiry and still closes on Friday (or at 15:45 ET on its expiry day if that comes first). Times are US Eastern. Port of Tradetron's Monthly Put Ladder. Capital per multiplier: $75,000, the Reg-T margin on the uncovered SPX put with SPX near 7,800 (15% of SPX less the out-of-the-money amount, plus the put's premium, minimum 10% of the strike) plus the debit paid for the put spread. It rises and falls with SPX; a portfolio-margin account needs less.

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