New Strategy for Me, 2 CSP legs, one on LETF and one on its Inverse - Please advise
I sold 10x .3 delta CSP $140 against SOXL and also 47x .3 delta CSP $30 against the inverse SOXS, both with the same expiry date and each leg has approximately the same notional amounts.
So there's no way both legs can be exercised at expiry. One leg could or none would (which would be maximum profit). If one leg is exercised, I would have both leg's premiums to offset any paper losses.
What do you guys think? And is there a name for this strategy?
UPDATE: Thanks for the all the replies, it's been helpful. I ran some analyses on SOXX's volatility over several time frames, volatility decay based on recent activity could become significant after 14 days (even though I did find timeframes of reverse decays like our recent run-up). Still, probably best to close out positions earlier than intended and for smaller profit.
Final update: closed both legs today for a profit. Thanks everyone!