Why I'm using flies instead of calls right now

If you, as a trader, see SPX stretched 1-2% below VWAP then it is often worth playing an intraday bounce.  

However, in high-vol environments, just buying call can be an expensive trade and even if the bounce comes, it may not be fast enough to cover the decaying premium. 

You need use volatility to your advantage.  You do that buy selling volatility in your trade structure.

I've been using broken wing call flies recently to achieve this.

The setup is simple. 

-> market looks oversold intraday (stretched 1-2% from VWAP) 

-> buy a broken wing call fly on SPX, 0DTE 

-> spend maybe $300-500 per structure 

-> hold for 2-3 hours 

If the bounce comes, I'm flipping for 100%+ profit. If it doesn't, I'm cutting for a small bleed. If it dumps, my max loss is the premium I paid. That's it.

Here's why this works in high vol:

Flies let you express a directional view with defined premium and positive delta without getting your face ripped off by inflated options prices. And over a 2-3 hour window, theta bleed is basically zero.

You're not fighting vol. You're using it.

That's the difference between having a view and knowing how to express it intelligently.

Right now, these are working better than anything else in the book because the structure fits the environment.

Does yours?

Volatility first.