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Market Measures

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Managing Earlier - Varying Durations

Market Measures

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Has managing earlier outperformed holding to expiration when compared to different durations of positions? Which duration outperformed the others?

Study
  • SPY, 1 SD Strangle, 2005 - 2017, 45 DTE
  • Cumulative performance by using one contract
  • Compare:
    • DTE at 45, 60, 90, 120, 150, 180, 200, 300
    • Hold-to-expiration
    • Managed positions at midpoint of the expiration cycle. (ex: Managed 90 day strangles at 45 days)

We find that in ALL durations, managing earlier outperformed its holding to expiration counterpart, and the duration that had the best performance was 45 DTE.

For more details on the takeaways, check out the slides and tune into the segment!

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