for 2026 I’m trying to design a systematic ES options strategy for a continuation of the market regime we've already seen this year and in 2022. I do think we see some sort of bigger down move late Q3 but I want to be positioned for it all year
* broad topping / rolling downtrend rather than a clean crash
* very wide ranges
* violent bear market rallies
* possible market down / vol down stretches
* headline risk that can instantly squeeze shorts
* enough two-way movement to make monetizing upside and downside make sense
* overall bearish bias, but not a straight-line short
The macro view is basically:
big declines, big rallies, net slow downward drift. I want to stay positioned for a real downside move, but I do not want to get blown out by face-ripping squeezes, Trump tweets, rate pivots, war headlines, etc.
I do not use stop losses, I have portfolio margin and a large book so margin use is not an issue
The structure I’m currently exploring is:
Core:
* short ES futures as the main bearish engine
Insurance:
* long calls as upside disaster insurance
Tactical sleeve:
* use /MES or small ES adjustments to steer delta around the range
The rough example book is something like:
* short 10 ES
* long 20 calls, around 25 delta, around 90 DTE
That starts the book with a bearish net delta, but gives protection against a huge squeeze. The idea is that if the market really flushes, the short futures do the heavy lifting. If the market rips, the calls keep me alive and give me something to monetize.
What I’m wrestling with is the management framework.
Questions:
1. If the market rallies hard and my 25 delta calls become 45–60 delta, should I:
* sell some calls outright?
* roll some calls up and out?
* add fresh short futures?
* do some combination of the above?-- I'd like to put some cash in my pocket and monetize the rally's as we go ideally....
1. If the market sells off and my calls decay toward uselessness, what’s the best process:
* cover some futures into weakness?
* roll some calls down?
* buy fresh 90 DTE calls?-- I'd like to be able to hold a core short all the way down and not have to reduce negative delta after we dump because we could keep dumping and I want exposure to that...
1. How do you manage this systematically without overtrading?
2. What is the best roll schedule for the calls?
My current thought:
* buy 75–90 DTE calls
* don’t let them age below \~55–60 DTE
* roll earlier if delta gets too high on a rally or too low after a selloff
1. Is there a better structure entirely?
For example:
* call spreads instead of naked long calls since ultimately I have conviction upside is capped somewhere
* ratio call structures
* short put spreads to fund long calls combined with short futures to get tail exposure
* collars around the short futures
* calendars / diagonals
* something else that handles bear rallies + vol compression better
If you were building a rules-based playbook for this regime, how would you structure it?