>>14087391whenever there's a VIX spike of greater than 10%, you'll make over a 400% profit greater than 90% of the time if you short high gamma SPY puts when the $VIX spikes again to within 5% of its peak at the first spike (basically double topping). Adding theta to your short decreases your short's risk of assignment but decreases the profit when you cover (however you can just "let the short ride" until the puts expire if you want to make money off the theta-- too high risk for me tho). Writing an algoritmn that does this is elementary.
This is what banks do and they make an insane amount of money doing it because 1) they all do it which reinforces the pattern and 2) the Federal Reserve gave them practically infinite collateral with 0% interest borrowing power should their short options ever go in the money.
The second part is arguable criminal but nobody cares and/or does anything about it, so have a blast. Personally it's so disgustingly easy it isn't even fun for me anymore and I want to see it all burn down.
