Bonus! Fidelity is my broker as well
I wanted to try something out - the price action on my 2 put positions today is something I found interesting. I'm wondering if I can back, approximately, into the daily end result.
First, the 7/24 1125 strike put premium decreased .75 today while shares increased $18. I would expect from previous experience for the decrease to be more.
The factors I know of that affect changes in premium: share price change by way of delta, time decay by way of theta, and IV changes by way of Vega. I realize that all of these change dynamically, but I'll use the end of day values to see if I can approximate how I ended up making .75 when the shares moved $18 in my favor.
Delta is -.1475. With the $18 share price move, that reduces the premium 2.66.
Time decay in my favor was -2.12.
That's 4.78 in my favor if IV was constant.
Vega is .69, so to turn 4.78 in my favor into .75 in my favor, that looks like about 6 points of IV change today (therefore, looks like .98 to 1.04). The 6 points IV comes from 4.78 - .75 ~ 4.00. At 70 cents per point of IV change, I'll need 6 points of IV change for a 4.20 increase in the premium.
Anybody know how to look up yesterday's IV on this put option? A 6 point change in a day seems like a lot to me. And I'm ok with 'losing' out on this option, because IV changes that hurt this option will just help out on the next option I sell.
The other put is the Aug 1050 strike put. It's premium increased 4.65 today while the share price increased 18. I would have expected the option premium to decrease.
Delta is -.16, so an $18 share price move is ~$3 in my favor.
Theta is -1.27, so I'm ahead 4.27 so far.
Vega is 1.19. If IV changed 6 points as it did for the July option, then that's ~7.20 against me, for a net of ~$3 (7.20 - 4.27). The actual change was 4.65. So it looks like IV change here was more like 7 or 7.5 points. That'd be from .89 to .965 give or take.
The primary dynamic I noticed today is that the August put isn't moving as much based on share price change. This was true yesterday as well during that big move. The July put moved ~20 and the August put moved ~14. It's these absolute moves I really care about, as this is the actual money going into my pocket (or coming out).
The deltas are similar, so it seems clear that it's the higher Vega (and lower theta) that is creating this dynamic.
My conclusion is my bias will be even more heavily against going out 6 or 7 weeks as I did for this August put. Valuable learning worth $14 / contract so far with $47 left to collect. However that's going up against a put that's collected ~$20 so far and looks like it'll continue to outpace the August contract for a few more weeks (at which point, the August option will be shorter duration, and start reacting more like I'm used to).
Or maybe I'll still do a few of these longer dated put sales now and then to see how consistently this dynamic shows up. I know that 6+ point changes in IV isn't a daily occurrence! Maybe I'll like the action on these longer dated puts better when IV isn't changing so much (it looks like the longer dated an option is, the more sensitive to IV changes).