Interesting post.
Has anyone ever used these down (up) days to re-enter the market after scaling out of a portion of the SPY pro system ?

Interesting legging into a straddle to hedge the loser, never thought of that.

How far away from at the money are your strikes ?

I actually bought the Jun 189 calls (as you stated) and sold the Jun 193 calls - I did the 4 point wide to capture the bigger moves the system catches..

If the market moves substantially higher, like 192 and the system is still long, I will roll the position up as long as the system remains long.

Hello all - anyone using options to trade the mechanical systems ?  If so, I'd like to hear how your doing with the strategy. Currently, my strategy is to go long call spreads (and vise versa) close strike,,, 2 points out, with a 4 point differential - 30 days minimum to expiration.

Any thoughts ? Or recommendations ?

Thanks