One of our go-to strategies is selling 1Strangles, hoping for the stock to stay inside the projected range.
When the stock doesn’t stay in that projected range, we can roll the Call down or the Put up to increase the credit and neutralize. How has this worked historically?Study
- 2005 to present
- S&P 500 ETF (SPY) - 45 DTE options
- Sold 1 SD
- If Call or Put is tested with 4 weeks or less to go:
- untested side to new 30 delta and held to expiration
Historically, rolling the untested side has shown greatly improved win rates and avg. P/Ls versus doing nothing.