On the flip side of yesterday's list, Tom & Tony review 3 of our top Market Measures segments on.
Our studies on Putin the SPX (S&P 500 Index) and RUT (Russell 2000 Index) both used data from 2005 to the present. When was below 25, we simulated purchasing a Put Calendar by buying the 40 Put with 60 and selling the same strike Put with 30 DTE. We then compared varying management levels. The study revealed that managing winners at 10% of the debit paid had the highest success rate and the lowest duration in the trade. The RUT also saw the highest average profit at the 10% rate while it was close for the SPX.
Our study on lowerlevels compared selling the 1 in SPY using data from 2005 to the present. We compared selling Strangles when the was above 25 and held through to selling Strangles in all market environments and if possible. The study showed that trading in all markets with management yielded higher daily P/L and than selling in high IV markets with no management. Low IV doesn’t provide the same opportunity as high IV but it can still be profitable if we stay engaged and stay small.
Watch this segment of Market Measures withand for an important recap of three of the best 2016 Market Measure segments on trading in a low IV environment.