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Market Measures

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Legging Out - Different Deltas

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.

According to our study, legging out of a position (which is widely believed to yield better returns) doesn’t outperform managing a position as a whole.

For example, when we are trading a 16 delta strangle, the performance of legging out the call and put separately at 50% of each leg’s max profits doesn’t significantly outperform managing the strangle as a whole at 50% of the position’s max profit.

Similarly, for 30 and 50 delta strangle, managing the strangle as a whole at 50% of the position’s max profit slightly outperforms managing its legs separately.

Tune in as Tom and Tony expand on these results!

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