After doing a lot of reading and personal research, I’ve reaffirmed that the 1-3 day unit sales were not a good idea: as Taleb would say, I was short concavity for most of my trades. Although there’s nothing wrong with selling index puts to collect the volatility premium, as this is a well-documented and academically researched avenue of portfolio return, it is prone to blow-up if left unprotected. It is a far better strategy to sell index put-spreads instead of just naked index puts at the near term given that you have an established maximum loss, although you should be active in your management to never allow it to reach that level. As well, the Vega is much lower when comparing a single ATM put to five 10 delta put-spreads, although the theta is also lower; but in my opinion, that’s a worthwhile trade-off.
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