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How to buy 10% out of the money puts, or 30% out of the money puts?
Idea from Mark Spitznagel in “The Dao of Capital”.
By 10% out of the money puts I mean 10% below current SPY price.
contracts = sorted(sorted(sorted(chain, \
key = lambda x: abs(chain.Underlying.Price * 0.9)), \
key = lambda x: x.Expiry, reverse=True), \
key = lambda x: x.Right, reverse=True)but to match this what do I set the minPrice and maxPrice in the SetFilter helper?
option.SetFilter(lambda u: (u.Strikes(minPrice, maxPrice).Expiration(30, 60)))
Foren Power
Answer found by .ekz.
Very generous of you for sharing.
.ekz.
🙌 Happy it's helpful.
Foren Power
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