Shared portfolio
Volatility Premium Harvester (SPY)
Explore Volatility Premium Harvester (SPY) on NexusTrade: portfolio performance, risk metrics, and the creator's strategy notes.
Harvests the variance risk premium: sells SPY put credit spreads ONLY when market volatility is elevated (VIX >= 18), so you're paid richly for the risk. Defined-risk vertical spreads (~16-delta short / ~8-delta long, 30-45 DTE), take profit at 50% of max credit, and close at 21 days-to-expiration to avoid expiration-week gamma. Backtested 2022-2025 (including the 2022 bear market): +15% total return, profit factor 1.14, ~17% max drawdown, positive through the downturn. This is a low-correlation income overlay, NOT a market-beater — its value is a steady positive edge with modest drawdown and near-zero correlation to simply holding stocks. Only trades when premium is genuinely rich, so it sits in cash during calm regimes.
Enable JavaScript to view the interactive performance dashboard.