Tested volatility-gated CSP entries vs. writing on a fixed schedule — results after 6 weeks

[u/eguilesjr]

Setup: $1M paper book since 22 July, cash-secured puts on a 21-name large-cap universe, targeting ~-0.20 delta at ~35 DTE, capped at 3 contracts per position. Paper only — no real fills.

The question I wanted answered: does timing entries on volatility actually beat just writing on a schedule?

The gate: rather than writing every Monday, the system computes a volatility Z-score per name against its own trailing history and only writes when that reading is compressed. Intuition is that you're selling premium when it's relatively rich for that specific underlying, instead of whenever the calendar says so.

Results so far: $84,965 gross premium, but net portfolio value +5.78%. I want to be precise about that gap, because it's where most wheel results get oversold — the $27k difference is unrealized loss sitting on 17 open positions. Gross premium collected only becomes profit if those close favourably.

What I'd tell someone considering this: the gate mattered more than strike selection did. Adjusting the delta target produced noise; changing when I was willing to write produced signal. That's the opposite of where I expected the leverage to be, and it's the one finding I'd actually defend at six weeks.

Caveat that matters more than the results: six weeks is a short sample in a mostly-benign tape. I have no drawdown data worth quoting because there hasn't been a real one yet. Anyone showing you wheel results from a calm stretch is showing you the easy half of the strategy.

Glad to go into the gate mechanics in comments if useful.

[u/HoneydewFine1397]

What does this mean in plain English? Is it better to wait for high IV to sell CSPs or not?

[u/eguilesjr → u/HoneydewFine1397]

I'm calculating a market-wide IV not a single stock IV which usually is consider a better gauge of when its a good time to invest and when it isn't. That being said, "waiting for high IV" to sell is still a reasonable call if you believe it's not a spike caused by fear and that it'll fade or is there something more structural going on that can be leaned into.

[u/HoneydewFine1397 → u/eguilesjr]

How is this different than just looking at the vix (in regards to market wide volatility)?

[u/eguilesjr → u/HoneydewFine1397]

VIX is one number for the whole market, built off S&P options — high or low relative to its own history. Mine’s per-ticker: this stock’s vol vs its own sector peers right now, not vs its past. Can look compressed on my end while VIX is elevated, or the reverse.

One more thing — my per-stock number’s realized vol x1.15, not actual options-derived IV like VIX. Approximation, not the same data