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Market Measures

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

Selling puts into down moves have multiple advantages including lower product prices and typically increased implied volatilities, which lead to richer premiums and further strikes.

According to our study in 30 delta, 45 DTE puts in SPY, the more consecutive down days we have before placing our orders, the fewer occurrences we have. However, with more consecutive down days before entering, we can get higher implied volatilities, higher success rates, and higher average P/L.

So we can see that waiting for consecutive down days can help us to improve the performance of our short positions at a cost of lower occurrences, and traders may want to put aside buying power to capitalize on these types of events.

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