QZW

Sounds interesting. Did you mean sell straddle for credit around the SPY closing price for the next week on Fridays? It would be 2.55-2.67 credit right now.

Marco, you are right about slippage. I am not sure I follow about 56%. I do unwind the shares (already did some) and earn total $0.5-1.5/share this way including commissions, unless I wait till January, where I will earn full dividend. It's very unlikely that AAPL will drop below 400 until Jan expiration, but if it did, I would hold on to it then. We'll see. I bought shares/wrote January 400 calls. I do not annualize this dividend capture trade, as I do it quarterly and try to unwind as soon as I can for 1% profit. Haven't found a good formula for SPY, but I try to do it fairly often on a number of stocks. On less volatile stocks like KO, XOM, JNJ etc the best is just to do an ITM call before ex-div date aiming at 0.1-0.3% profit and 100% chance of getting called away without getting the dividend. Last year, I earned about 8% of my total portfolio by doing this regularly. An extra benefit, tax-wise, is that one can build up cost averages on these stocks.

OK, all shares with calls expiring next week are called away this morning, none with calls deep ITM expiring Jan 2014 are called. Puts on those are worth only 10 to 70 cents at the moment. Now I have to unwind all shares and wait for the dividend to come in. Overall, this is still a profitable trade. Marco, you are right about AAPL handled/manipulated by professionals. It has always been this way, yet they "forgot" to exercise with some regularity when the stock was going down. Just an observation.

Of course it does. 100% of the shares will be called away if the calls are at the same week as the ex-div date. With calls expiring 1 to 2 weeks after ex-div date, I had only about 25% of the shares called away last quarter. With calls 3 months away after ex-div date, I had no shares called, even with calls over $100 or 200 deep in the money. For me, the risk is small (only the trading fees plus whatever minimal premium I paid to exercise the buy/write trade), yet the potential profit is close to $3/share for holding the shares. Last year, when dividend started, the success rate was larger; everyone was afraid to hold the shares. May not be so this quarter, we'll see tomorrow. I wish I had a better dividend capture strategy for SPY, it trades beautifully. It might be worthwhile to try dividend arbitrage on it. It requires a significant trading capital though to make appreciable profit.

Does anyone do a dividend capture on AAPL? With ex-div date tomorrow, I bought AAPL shares and wrote corresponding DITM calls for Nov 16, with a premium of 0 to 1 cent only per share, not counting trading fees. Hope the shares will not be called overnight-at least not all of them. I sold 400 and 300 calls. There was a good volume on 400 calls-over 3400 calls today. If anyone has experience trying to capture dividend or do dividend arbitrage, please share. I did AAPL div capture last quarter with good results. QZW

Chris, thank you for this precise advice. I'll do exactly as you indicated. QZW

Chris, could you calculate if I should roll more or less SPY puts. I have: 300K worth of ETFs 42 long puts for September 2014 at $176 5 long puts for September 2014 at $168 I rolled 22 short puts for Nov 8 at $176 and 4 short puts for Nov 1 at $172. The idea is to blend Anchor with your SPY diagonals (both 4:5 and 1:5). Thank you very much in advance. QZW

Chris, excellent analysis. I will stick to Anchor strategy for years to come. One thought: would it be possible to reduce the lag and approach SPY's performance with highly correlated, but outperforming ETFs such as QQQ, RSP and IWM? I have read that RSP and SDY/VIG combo outperforms SPY in the 10-year timeframe, but it seems that QQQ and RSP are further ahead within a long time horizon. Sure, they are more volatile, but wouldn't they be covered by the SPY puts? As a variation, QQQ and IWM are easy to hedge by their own long puts. I suppose one can devise an outperforming yet very stable strategy combining your SPY 4:5 diagonal and QQQ/its own long puts and IWM/its own long puts strategy. I am seeing less weekly SPY put extrinsic required on such a strategy (on a yearly basis) than with the "classical" Anchor. But I am happy with the Anchor's ETF performance. You got a brilliant product. QZW

Chris, GLD is all over the place and I cannot figure where it is heading; I do not trade it. On the other hand, do you think diagonals on IWM and QQQ are legit? Volumes are not great, but acceptable. Could be another good weekly trade like SPY. Thanks. QZW

I am also in the diagonal game for the last month or so, thanks. For experiments, bought 10 puts for September 2014 (168 strike price) and roll 8 slightly ITM bi weekly puts, just like in Anchor. Will wait to roll the longs, for SPY to be around 180 or so to roll. So far, it has been producing some income. Any advice if I do it right? As far as 1:5 ratio diagonal, I could not find a well-tested or a well-defined strategy. Instead, I sell 50 to a 100 of OTM weekly puts on SPY pullbacks or $1 or more, for income. Is this a legit strategy? So far, I have not had to roll these puts, just let them expire worthless. Is this a waste? Hope there will be posts on condors for income... QZW

Chris, are the dates correct?

edit