At close 3/13/20 SPY was at 270.2, by close 3/16 it dropped to 239.41 ~ 8.8% drop... I'm looking at how to capitalize on these big swings with options.
I'm backtesting option strategies and plotted the gains for various PUTS by strike from 3/13 close to 3/16 close. I see the 'peak' gain of 600% is at a strike price of 185 so over 30% lower than ATM on 3/13.
Question is how could I figure out ahead of time what the optimal strike price to buy a PUT at is that maximizes my gain if there is a ~8-10% drop? What drives the shape of the curve below?
Curve of PUT price on 3/16 / PUT price on 3/11 by strike...