Market Measures

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Expiration Straddles

Market Measures

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Expiration Friday can be a tempting day to buy straddles in hopes of the market making big moves and, therefore, returning large profits on a small amount of capital invested.

How do we perform if we bought Straddles on Thursday’s close and held them to expiration Friday?

Study:
  • SPY, 2005-present
  • 1 DTE
  • Bought ATM straddles
  • Held to expiration
  • Recorded P/L and win rate

The result is a negative P/L over time even if the market is volatile and more swings are present. This suggests that short premium strategies outperform long ones no matter the duration and volatility levels.

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