Strategy description

Option Selling Algo Strategy: Current Week ITM Sell and Next Week OTM 10 Buy

Strategy Logic

1. Bearish Outlook:
   1. Sell a Call option of the current week (near or at-the-money strike).
   2. Buy an Out-of-the-Money (OTM) Put option of the next week.
2. Bullish Outlook:
   1. Sell a Put option of the current week (near or at-the-money strike).
   2. Buy an Out-of-the-Money (OTM) Call option of the next week.

How the Strategy Works

1. Purpose:
   1. Leverages from time decay (theta) of the short-term sold option.
   2. Hedge potential adverse moves with the long OTM option of the next week.
2. Greeks Involved:
   1. Theta: The short option decays faster than the long option, giving a time decay advantage.
   2. Delta: The directional bias benefits if the underlying moves in the predicted direction.
   3. Vega: If volatility rises, the long OTM option benefits, reducing potential losses.
3. Market Conditions:
   1. Works well in range-bound markets or when you have a strong directional bias.
   2. Best during periods of low to moderate implied volatility.