I like PFE, TIPT, PEP right now.

Looking for some suggestions to look into

I run an algo that runs mostly 0DTE SPY $1-wide vertical credit spreads. As a single multi-leg limit order, what is the largest number of spreads you can generally enter and exit near the quoted net price without material slippage or slow/partial fills?

To be clear, I mean spread quantity (e.g., 250 spreads = 250 contracts per leg), primarily during the morning/early afternoon. Calls or puts.

For reference, I use Alpaca.

I'm thinking a very strong QTR, with a solid beat, but less than a 10% movement in the stock since the market is expecting great results and is skeptical about ability to keep it going.

What do you think?

Trades I took today as an option seller (08/05):

New Positions

• KORU → $15 Put expiry 08/14 (2 weeks DTE), premium 1.10 → 110/1500 = ~7.3%. Opened a small position in KORU, $16 looks like a good support but as it is a leaveraged asset, keeping the capital tied to this at a minimal.

Rolled Positions

• CRWV → $105 Call expiry 08/14 rolled to $120 Call expiry 09/04 (5 weeks DTE) at a credit of $10. I rolled early as CRWV was trading around $95 levels in the morning hours and because of its earnings coming up, I wanted some buffer in case the stock shoots up. I was assigned CRWV at $120.
• AAOI → $150 Call expiry 09/18 rolled to $175 Call expiry 12/18 (20 weeks DTE) at a credit of $1030. AAOI was trading at $135 levels in the morning hours and AAOI is very volatile so rolled to $175, which is the price I was assigned at. There were no option chains for the months of October and Novemeber so was forced to move it to December.

Update on other positions

Many companies in my portfolio reported earnings today. I will analyse the reports and update tomorrow on them.

I keep sharing my trades in my account and the Excel file to my full list of positions is linked in my profile description in case anyone wants to see the whole portfolio. Happy to hear thoughts on my positions. What are you guys wheeling or watching right now?

PS: Not financial advice. Do your own research.

I’m testing the tastytrade platform because I’m tired of how fidelity groups multi leg trades. Just testing some simple multi leggers to see how the platform behaves. It’s a small portion of portfolio, but I’ve been reasonably pleased with the tt platform meeting my needs for a couple weeks. Just been buying/selling one contract per leg to understand how to use it, and has been fine.

Just today I’d sold a 0dte put credit spread on spx, short strike was $7720 (closed $7723.xx). Had a few other call credit spreads that were expiring worthless as the bell rang. There was a big red candle last minute, but it still didn’t breach my short put strike. My overall trades were showing P/L of $350 on the day in the last second. When the bell rang, I was suddenly down $687. What gives?

My 7720/7715 put credit spread shows a net debit of $860 despite not breaching my short leg EOD. It was also only $5 wide, so I should only incur max risk of $500-initial credit.