SP 500 etf wheel strategy

3倍標普500 ETF投資報酬率的「滾輪投資策略」

你們想學習用選擇權交易增加標普500 ETF的投資報酬率嗎?

今天我要教大家一個特殊的「滾輪投資法」讓你的S&P 500 ETF投資報酬率加倍。

為什麼想買標普500的ETF?

我想聽說過標普500的人都知道這是世界最具代表性的指數,主要是從美國股市中最大的公司裡挑出500間相當優質的公司並追蹤他們的表現。

S&P 500的公司市值大約占美國股票市場80%的市值,不但對大盤的走向具代表性,也是被動投資達人最好買、最好分散風險的指數。

只要購買並長期持有追蹤標普500指數的ETF可以期待每年9%的投資報酬率。

S&P 500 etf公司
標普500指數中追蹤的公司。

S&P 500指數中追蹤的公司中可以看到我們常聽到的優質公司,例如AppleGoogleFacebookNetflixDisney等,Tesla也在去年十二月新加入了指數中。

所以購買標普500的ETF等於是同時投資這些優質的公司,而且又可以分散風險,一舉兩得。

什麼是「滾輪投資法」?

滾輪投資策略來自The Wheel Strategy,主要是結合購買股票和交易選擇權的一連串SOP,讓投資人能夠不只享受股票波動的獲利,在股價不動時還可以收取銷售期權的收入。

投資期權的達人都知道,賣選擇權主要是根據股價的波動定義獲利區間,如果股價漲跌大於預期,就可能會賠錢,所以滾輪投資法特別適合像是標普500 ETF這種風險分散,漲跌幅度不大的股票。

哪一個S&P 500 ETF最適合滾輪策略?

目前追蹤S&P 500最受歡迎的幾個ETF是SPYIVVVOO,這三個ETF追蹤標普500的準度不同、管理費也不同,所以你可能會問要怎麼挑選ETF最適合滾輪策略。

因為滾輪投資策略的基礎是使用選擇權交易增加股票的投資報酬率,所以我們主要以期權交易量作為挑選ETF的主要標準。

標普500 ETF選擇權日交易量
SPY2,272,620
IVV253
VOO111

如果我們參考這三個ETF單日的期權交易量,可以看到SPY的交易量遠高於其他兩個,所以我們挑選SPY為最適合交易期權的標普500 ETF。

滾輪投資策略的三個步驟

滾輪投資的主軸是訂出一個搭配持股,能在不同的持股數量下銷售期權的SOP,不但能增加ETF的投資收入,也能降低股票購買的成本。

根據不同的SPY持股狀態總共有三種不同的步驟:

  1. 在沒有持股的情況賣Cash-Secured Put option。
  2. 持有100股的時候賣一個Strangle (也就是賣Put加Covered Call)。
  3. 在持有200股的情況賣兩個Call options。

步驟一在沒有持股的情況賣Cash-Secured Put Option

當我們沒有持股的情況時,可以賣一個30天的Cash-Secured Put option

滾輪策略步驟一賣put
賣Cash-Secured Put option,不但可以賺收入,也有機會便宜買到SPY股票。

如果30天後SPY的價格沒有低於合約價,賣Put的收入就可全部入袋。

如果SPY下跌而提前履約Put option,我們就會便宜買到100股SPY,接下來滾輪策略就走到下一個步驟。

步驟二持有100股的時候賣一個Strangle

既然你取得了100股,接下來就可以賣一個Strangle,也就是Cash-Secured Put和Covered Call的選擇權。

滾輪策略步驟二賣strangle
賣Strangle可以不論SPY漲跌都賺錢,有機會便宜買進股票,或高價賣出。

如果30天後SPY的價格不動,賣選擇權的收入就全部收下。

如果SPY價格上漲超越Call的合約價並且被履約,就把現有的100股以高價賣掉並退回步驟一。

如果30天後SPY價格下跌低於Put的合約價並被履約,就便宜買入100股的SPY並前進到步驟三。

步驟三在持有200股的情況賣兩個Covered Call Options

現在我們擁有了200股的SPY ETF,這時就可以一次賣兩個Covered Call合約,加倍我們的Call options收入。

滾輪策略步驟三賣兩個call
賣兩個Call options加倍選擇權收入,SPY如果上漲也可高價賣掉股票。

如果30天後SPY的價格不漲,賣選擇權的收入就全部收下。

如果SPY價格上漲超越Call就把手上的200股以高價賣掉並退回步驟一。

要怎麼訂定Put和Call的合約價最好?

從SPY的歷史數據來看股價漲跌很少超越Bollinger Bands的上下限,所以在Bollinger Bands賣Put和Call是最簡單又CP值最高的。

SPY bollinger bands上下限
SPY的股價漲跌很少超越Bollinger Bands的上下限,所以適合用來參考選擇權的合約價。

現在SPY的Bollinger Bands上下限價格正好是376元和394元,所以我們可以用這兩個價格設定賣Put和Call的期權價格。

另一個方便的定價方式是參考選擇權神器挑選0.20 delta的Strangle價格

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

根據選擇權分析神器0.20 delta的Strangle:

  • 由396元的Call和361元的Put組合而成
  • 如果沒有持股,需要使用4313元的購買力,有10.5%的投資報酬率
部落格體驗介紹

滾輪投資SPY的理想投資報酬率

我們可以用步驟二來計算滾輪投資SPY的理想報酬率,如果我們預估SPY的波動幾乎不會超過我們參考Bollinger Bands的376元Put和394元Call價格,我們從賣期權的收入就大約是每個月1200。

滾輪投資賣strangle收入
以步驟二賣Strangle的收入計算每個月理想的滾輪投資報酬率。

我們為200股SPY準備的現金是7萬7千元,所以每個月的選擇權收入有1.6%,全年就有19%的收入。

長期持有SPY ETF和滾輪投資法的差異

如果長期持有SPY每年平均獲得9%的報酬,那滾輪策略可以再增加19%的期權收入,讓我們投資SPY ETF每年報酬率達到3倍以上。

交易方式持有SPY ETF滾輪投資策略
最少投資$383$77,000
年報酬率9%28%

其他適合滾輪投資法的價值股票

我們參考價值股清單,可以找到現在被嚴重低估並且適合長期投資的股票

現在清單中看到被低估最多的股票中出現了Shopify和FB,這兩個公司都是擁有賺錢軟體平台和龐大競爭力的績優公司

  • 兩個股價離Fair Value都有將近100%的Upside。
  • 而且Long Signal Days告訴我們股價在上週抄底了。
trending bullish stocks shop fb
SHOP和FB是現在被低估、最適合長期投資的股票。

我們可以賣SHOP和FB的Cash Secured Put選擇權賺取收入並等待股價向上反彈。

現在SHOP的股價約$600,我們在0.20 delta $495的位置賣下個月到期的Cash Secured Put可獲得每股$19.40的權利金收入。

賣shop cash secured put
現在賣0.20 delta下個月到期的SHOP Cash Secured Put獲得每股$19.40的權利金。

如果股價下跌就可以用$475.60購買100股的Shopify,等於是打了79折。

現在Meta的股價約$200,我們在0.20 delta $175的位置賣下個月到期的Cash Secured Put可獲得每股$3.60的權利金收入。

賣fb cash secured put
現在賣0.20 delta下個月到期的FB Cash Secured Put獲得每股$3.60的權利金。

如果股價下跌就可以用$171.40購買100股的FB,等於是打了86折。

我們看到兩個Cash Secured Put交易都可以買到便宜的股票,如何選擇除了看打折的幅度以外,也要注意現金購買力的差別。

股票買股折扣需要現金
SHOP79折$47,560
FB86折$17,140

SHOP的選擇權合約需要準備$47,560的現金,而交易FB的Cash Secured Put合約需要準備$17,140的購買力。

現在輪到你參考價值股清單找到被嚴重低估並且適合長期投資的績優股交易滾輪投資法。

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在〈3倍標普500 ETF投資報酬率的「滾輪投資策略」〉中有 66 則留言

    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

  8. How do we avoid the “Wash-Sale” in short cycles (monthly or weekly) when ETF keep getting assigned?

    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.

  9. 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.

  10. 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.

  11. 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

  12. On what chart are you using the bollinger bands? Because it is different if you use a year chart, 5 year, or 180 days?

    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??

        1. 您好Eric
          是的所以我們通常要在Bollinger bands比較短的時候賣期權收入比較高,也可以等IV縮小時靠Vega獲利

    1. 这个交易方式在市场暴跌的时候会以低价买到100股
      接下来就可以用卖Call的方式赚收入等待股价上涨

  13. Thank you for the detailed explanation of how to use the wheel strategy to increase the returns of my SPY

  14. 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.

  15. 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.

  16. 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

  17. 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.

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