Today, we will compare long deep in-the-money Puts to short out-of-the-moneyand short out-of-the-money . Study
- SPY, 2005-2016
- Buying 80 Puts
- Selling 30 Delta Puts
- Selling 30 Delta Calls
- All held to
- When SPY increased from entry to expiration
- When SPY decreased from entry to expiration
- Long Puts are only profitable on large down moves
- When looking at all occurrences, both short calls and short puts have high success rates and net positive results, especially when combined.
- This study did not take into account managing at 50%, which would likely improve short Puts and short Calls results.
Check out the segment as Beef, Bat and Pete discuss their most important takeaways from the study.