The reason for this conclusion is that before 2020, there was never a loss on a 16∆ strangle in SPY that exceeded the initial BPR, including 2008.
Did the move in 2020 change this conclusion?
In 2020, we saw three occurrences where the loss on a 16∆ SPY strangle exceeded the initial BPR. Note that individual stocks can experience different outcomes. In higher IV environments, the worst loss as % of BPR including 2020 was 75%.
Going forward, the BPR still remains an estimator of the worst case scenario on an undefined risk trade.
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