SP 500 etf wheel strategy

3倍标普500 ETF投资报酬率的「滚轮投资策略」

你们想学习用期权交易增加标普500 ETF的投资报酬率吗?

今天我要教大家一个特殊的「滚轮投资法」让你的S&P 500 ETF投资报酬率加倍。

为什么想买标普500的ETF?

我想听说过标普500的人都知道这是世界最具代表性的指数,主要是从美国股市中最大的公司里挑出500间相当优质的公司并追踪他们的表现。

S&P 500的公司市值大约占美国股票市场80%的市值,不但对大盘的走向具代表性,也是被动投资达人最好买、最好分散风险的指数。

只要购买并长期持有追踪标普500指数的ETF可以期待每年9%的投资报酬率。

S&P 500 etf公司
标普500指数中追踪的公司。

S&P 500指数中追踪的公司中可以看到我们常听到的优质公司,例如AppleGoogleFacebookNetflixDisney等,Tesla也在去年十二月新加入了指数中。

所以购买标普500的ETF等于是同时投资这些优质的公司,而且又可以分散风险,一举两得。

什么是「滚轮投资法」?

滚轮投资策略来自The Wheel Strategy,主要是结合购买股票和交易期权的一连串SOP,让投资人能够不只享受股票波动的获利,在股价不动时还可以收取销售期权的收入。

投资期权的达人都知道,卖选择权主要是根据股价的波动定义获利区间,如果股价涨跌大于预期,就可能会赔钱,所以滚轮投资法特别适合像是标普500 ETF这种风险分散,涨跌幅度不大的股票。

哪一个S&P 500 ETF最适合滚轮策略?

目前追踪S&P 500最受欢迎的几个ETF是SPYIVVVOO,这三个ETF追踪标普500的准度不同、管理费也不同,所以你可能会问要怎么挑选ETF最适合滚轮策略。

因为滚轮投资策略的基础是使用选择权交易增加股票的投资报酬率,所以我们主要以期权交易量作为挑选ETF的主要标准。

标普500 ETF选择权日交易量
SPY2,272,620
IVV253
VOO111

如果我们参考这三个ETF单日的期权交易量,可以看到SPY的交易量远高于其他两个,所以我们挑选SPY为最适合交易期权的标普500 ETF。

滚轮投资策略的三个步骤

滚轮投资的主轴是订出一个搭配持股,能在不同的持股数量下销售期权的SOP,不但能增加ETF的投资收入,也能降低股票购买的成本。

根据不同的SPY持股状态总共有三种不同的步骤:

  1. 在没有持股的情况卖Cash-Secured Put option。
  2. 持有100股的时候卖一个Strangle (也就是卖Put加Covered Call)。
  3. 在持有200股的情况卖两个Call options。

步骤一在没有持股的情况卖Cash-Secured Put Option

当我们没有持股的情况时,可以卖一个30天的Cash-Secured Put option

滚轮策略步骤一卖put
卖Cash-Secured Put option,不但可以赚收入,也有机会便宜买到SPY股票。

如果30天后SPY的价格没有低于合约价,卖Put的收入就可全部入袋。

如果SPY下跌而提前履约Put option,我们就会便宜买到100股SPY,接下来滚轮策略就走到下一个步骤。

步骤二持有100股的时候卖一个Strangle

既然你取得了100股,接下来就可以卖一个Strangle,也就是Cash-Secured Put和Covered Call的期权。

滚轮策略步骤二卖strangle
卖Strangle可以不论SPY涨跌都赚钱,有机会便宜买进股票,或高价卖出。

如果30天后SPY的价格不动,卖期权的收入就全部收下。

如果SPY价格上涨超越Call的合约价并且被履约,就把现有的100股以高价卖掉并退回步骤一。

如果30天后SPY价格下跌低于Put的合约价并被履约,就便宜买入100股的SPY并前进到步骤三。

步骤三在持有200股的情况卖两个Covered Call Options

现在我们拥有了200股的SPY ETF,这时就可以一次卖两个Covered Call合约,加倍我们的Call options收入。

滚轮策略步骤三卖两个call
卖两个Call options加倍选择权收入,SPY如果上涨也可高价卖掉股票。

如果30天后SPY的价格不涨 ,卖选择权的收入就全部收下。

如果SPY价格上涨超越Call就把手上的200股以高价卖掉并退回步骤一。

要怎么订定Put和Call的行权价最好?

从SPY的历史数据来看股价涨跌很少超越Bollinger Bands的上下限,所以在Bollinger Bands卖Put和Call是最简单又CP值最高的。

SPY bollinger bands上下限
SPY的股价涨跌很少超越Bollinger Bands的上下限,所以适合用来参考选择权的合约价。

现在SPY的Bollinger Bands上下限价格正好是376元和394元,所以我们可以用这两个价格设定卖Put和Call的期权价格。

另一个方便的定价方式是参考选择权神器挑选0.20 delta的Strangle价格

SymbolLastStrangle detailsStrangle BPStrangle ROC
SPY383.63C396(0.19)
P361(-0.20)
431310.5%

根据选择权分析神器0.20 delta的Strangle:

  • 由396元的Call和361元的Put组合而成
  • 如果没有持股,需要使用4313元的购买力,有10.5%的投资报酬率
部落格体验介绍

滚轮投资SPY的理想投资报酬率

我们可以用步骤二来计算滚轮投资SPY的理想报酬率,如果我们预估SPY的波动几乎不会超过我们参考Bollinger Bands的376元Put和394元Call价格,我们从卖期权的收入就大约是每个月1200。

滚轮投资卖strangle收入
以步骤二卖Strangle的收入计算每个月理想的滚轮投资报酬率。

我们为200股SPY准备的现金是7万7千元,所以每个月的选择权收入有1.6%,全年就有19%的收入。

长期持有SPY ETF和滚轮投资法的差异

如果长期持有SPY每年平均获得9%的报酬,那滚轮策略可以再增加19%的期权收入,让我们投资SPY ETF每年报酬率达到3倍以上。

交易方式持有SPY ETF滚轮投资策略
最少投资$383$77,000
年报酬率9%28%

其他适合滚轮投资法的价值股票

我们参考价值股清单,可以找到现在被严重低估并且适合长期投资的股票

现在清单中看到被低估最多的股票中出现了Shopify和FB,这两个公司都是拥有赚钱软体平台和庞大竞争力的绩优公司

  • 两个股价离Fair Value都有将近100%的Upside。
  • 而且Long Signal Days告诉我们股价在上周抄底了。
trending bullish stocks shop fb
SHOP和FB是现在被低估、最适合长期投资的股票。

我们可以卖SHOP和FB的Cash Secured Put选择权赚取收入并等待股价向上反弹。

现在SHOP的股价约$600,我们在0.20 delta $495的位置卖下个月到期的Cash Secured Put可获得每股$19.40的权利金收入。

卖shop cash secured put
现在卖0.20 delta下个月到期的SHOP Cash Secured Put获得每股$19.40的权利金。

如果股价下跌就可以用$475.60购买100股的Shopify,等于是打了79折。

现在Meta的股价约$200,我们在0.20 delta $175的位置卖下个月到期的Cash Secured Put可获得每股$3.60的权利金收入。

卖fb cash secured put
现在卖0.20 delta下个月到期的FB Cash Secured Put获得每股$3.60的权利金。

如果股价下跌就可以用$171.40购买100股的FB,等于是打了86折。

我们看到两个Cash Secured Put交易都可以买到便宜的股票,如何选择除了看打折的幅度以外,也要注意现金购买力的差别。

股票买股折扣需要现金
SHOP79折$47,560
FB86折$17,140

SHOP的期权合约需要准备$47,560的现金,而交易FB的Cash Secured Put合约需要准备$17,140的购买力。

现在轮到你参考价值股清单找到被严重低估并且适合长期投资的绩优股交易滚轮投资法。

热门文章

66人评论了“3倍標普500 ETF投資報酬率的「滾輪投資策略」”

    1. That can work if you want to quickly move on to either step 1 or 3.
      The straddle means you will always be assigned next, either sell the 100 shares or buy 100 more.
      The premium received would be higher than a strangle though.

  1. The figure showing “$376 Put and $394 Call is around $1200 per month” seems to have put/call with expiration of 41d. So the 1.6% return is for 41 days instead of one month. I am also trying to check the current SPY options, can’t find a way to achieve 1.6% monthly return. Did I miss anything?

    1. You are right about the timeframe of the expiration, it’s an assumption.
      The returns from selling neutral options are lower at the moment because VIX is quite low, which means the volatility is low.
      Hence the premium received would be lower right now.

  2. Do you think adding QQQ is a good idea or stick to SPY if you are mostly looking for safety?
    QQQ has been working out for me with nice premiums and ability to roll quickly but spy feels a lot less volatile. However when looking at 10 year chart (Monthly), they seem to go hand in hand. What do you think?

    1. I think the point of the Wheel Strategy is to balance less risks and more premiums from the options.
      Both QQQ and SPY give you less risks than stocks.
      While a slightly more volatile QQQ should give you better premiums and wider Call/Put strike prices.
      It’s good to test the two ETFs then decide which gives a better balance for you.

      1. Thanks for your reply.
        So far I’m really enjoying SPY and QQQ and don’t have to worry about management, earnings etc
        I have learned so far as you mentioned that qqq has better premiums but SPY is a bit more stable.
        Covered strangle is working out nicely and adjusting positions up or down depending on market mood

  3. Following your suggestion to use the upper and lower bounds of Bollinger bands for SPY, I come up with 404 and 418 as the strike prices for put and call, respectively. However, your options scanner for 0.20 delta indicates 386 and 427. Big difference! How can this be explained?

    1. I double-checked the 0.20 delta suggestions on SPY, and it seems to fit with the trading platform’s numbers for expirations 7/21 and 6/16.
      Can you confirm if the expirations you are looking at are the same?
      If so, then the differences may be explained by the delay in data.

      1. Is the choice of the strike mainly delta or do you also consider other factors such as high premium, volatility, open interest, volume, earnings, or other?

  4. When you’re in Step 1 of the Wheel, you’re selling only one cash-secured put, which means collecting only one premium. The other two steps involve collecting two premiums. Is it advisable to sell two puts in the beginning, or else one put with a strike price closer to the stock price, in order to increase the premium?

    1. If you sell 2 cash-secured Puts in step 1, you will need to double the contracts in steps 2 and 3 later as well.
      Selling a Put with a closer strike is preferable from the two choices you mentioned.

  5. Why are you adding the theoretical pct return to the buy and hold return to come up with 28%? If you’re doing the whell strategy ur not realizing the 9% gain from buy and hold, ur in and out of the ETF, so I’m not understanding your math.

    1. 28% is a hypothetical return based on step 2, sell a Strangel while holding 100 shares:
      Buying and holding the ETF, gaining 9%/year
      Both short Put and short Call options expire worthless, receiving a premium of around 19%/year

  6. Tony您好
    我看了您兩篇文章
    第一篇是「滾輪投資策略」
    第二篇是「我們不愛交易Covered Call的理由」

    然而我們都知道,「滾輪」必然會使用到「covered call」,您這樣不就是自相矛盾嗎?

    建議您修改一下「covered call」的標題,不要誤導那些不太懂選擇權,但信任您的人。

    1. 謝謝您的留言
      Covered Call雖然好上手,不過有幾個缺點讓我們不太愛交易它
      我們誠實分享我們的想法讓讀者做決定

  7. Hi Tony,
    I have been trying wheel strategy with paper money. At what point do we need to cut losses if the stock moves below the put strike? since we will be paying more than the spot price at assignment.

    Are there any adjustments that should be considered?

    Thanks
    Vishal

    1. Hi Vishal,

      Actually, we prefer to trade wheel strategy on stocks that we want to buy and hold for the long term.
      So we don’t mind buying the stocks when the spot price moves below the Put.

      If we anticipate the blue-chip stock to be valuable in the long run, a temporary dip isn’t that big of a deal.

      We just keep selling the Covered Call until we sell the shares for a profit.

      Cheers

    1. After you get assigned the undervalued shares you can sell Covered Calls with monthly expiration as the underlying moves from significantly undervalued to significantly overvalued.
      When an underlying is 30-40% overvalued, you can start selling at 0.15-0.40 delta Covered Calls.
      The transition of the underlying from undervalued to overvalued takes a long time and will not be at risk with the wash-sale rules.
      Should your underlying be called away, you will not regret it too much because your gain from valuation has been significant.

  8. Hi, if let’s say now we are holidng 200 shares of SPY and SPY crashed, how do we set the strike price for selling calls as we are still in capital loss?
    Thanks in advance.

    1. It depends.
      If you expect SPY to bounce back quite quickly, then you can set the Call strike at the breakeven price.
      If you expect SPY to stay low for a while, then maybe set the Call strike at 0.20 delta (assuming that is lower than the breakeven price), to earn a better premium.

  9. Hi Tony, wow – not complicated but highly effective, thank you so much!
    Would it be a advantage to use the weekly contracts in SPY, for example always Friday?

    1. Hi Chris,

      We prefer trading monthly options because the theta decay is more predictable, leading to higher probability trades.
      We don’t trade weekly contracts because the time to expiration is too short, as that would mean trading gamma not theta.
      Gamma is much more unpredictable than theta.
      Also, weekly options have less premium due to less time value, so you don’t get as much income from selling options.

  10. 如果卖put被assign了?被assign的股票又在持续下跌,碰到这种情况卖call的话, strike price应该设在哪个位置比较好?设太高,premium赚不了多少,设太低,那股票可能低价卖掉,造成亏损。

    1. 如果不想长期持有股票,当Put被assign了的时候,可以卖一个Call在当初Put的strike
      这样收入应该还够高,如果股价涨回来就会回本

    1. We use the Bollinger Bands on the daily chart
      It’s an estimation of 2 standard deviation move
      Shouldn’t matter too much if you use a year chart, 5 years, or 180 days

      1. 你好TONY。。。如果選擇STRIKE的时候刚刚BOLLINGERBAND是在常窄,選擇的STRIKE也非常緊貼現貨價。。。這樣不是會很危險嗎?因為Bollinger Band在收窄之後,很自然的會擴闊到很大!!!這樣的話,不是很容易輸錢嗎??

  11. Current prices for calls/puts (as of mid Oct 2021) doesn’t yield such high returns and wouldn’t bring you any where close to 1.6%.
    Have the markets changed so much or am i looking at it wrong?

    1. Market has changed a lot over the course of this year. Volatility (VIX) has come down to 16.30 as of today. During the crash last year, VIX peaked at around 80. The historical level is between 11-16. When you consider the current ROC level as not interesting for selling covered calls, it is the normal market environment and return profile that you will be confronted with going forward. You can better sell put and call spreads at the money with much higher ROC because in these cases you are selling at-the-money volatility which is the highest point of volatility of any underlying. The put and call spread scanners are great tools to find such ATM trades. It is not easy to find ATM trades with high probability of success because it is a directional trade with high rewards. I do not trade any covered calls because ROC is low and you don’t want your patiently acquired stocks to be called away and after that the stocks moves another 5% without you owning it. Covered calls is easy to comprehend for beginners as a low risk strategy but doesn’t get you anywhere.

  12. Thank you for this great S&P 500 trading strategy, looks like a great way to accelerate the returns of my SPY long term investment strategy.

  13. Thank you for sharing a comparison of the wheel strategy vs buy and hold
    I’ll be using the wheel strategy to improve the returns of my buy and hold stocks from now on

  14. Thank you for the tip
    This sounds like a good strategy for MSFT
    I definitely would like to own more MSFT stocks at a discount

    1. Hi,如文章提到的The Wheel Strategy主要是用賣期權的收入增加長期持有股票或ETF的投資報酬率
      所以使用滾輪投資時建議使用在:
      1.你願意長期持有的股票/ETF
      2.波動不大的股票/ETF(以免大波動讓股價超越履約價太多,損失價差)

      所以建議使用在FAANG等有競爭力又長期成長的優質股票
      和S&P 500的ETF,例如VOO、IVV等

    1. Hi Simon, thank you for getting in touch.
      Yes, I think TNA and SOXL are also good candidates for the Wheel Strategy, since they are ETFs that tend to be less volatile than individual stocks.
      Their lower prices also mean you need less capital than SPY to execute the Wheel.

发表评论

您的电子邮箱地址不会被公开。 必填项已用*标注

error: Content is protected !!

等一下

我们定期分享斜杠投资秘诀

先別走

我们定期分享斜杠投资秘诀