In today's segment, Tom and Tony breakdown the results of a large dataset, examining short puts in SPX.
They analyze strikes from 1all the way up to 50 delta. The core focus is on return on capital and (more specifically) return on capital per day. There is a diminishing benefit when looking at lower delta strikes, which don't make enough money per day to justify the capital requirement.
The team also looked at the additional P/L added for each delta added per. In this regard, there is a diminishing benefit to adding more deltas beyond the 20 or 30 mark.
The study used a massive amount of data, which yielded a ton of interesting metrics. Tune in for Tom and Tony's full discussion!