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Managing Straddles at 25 Percent

Market Measures

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Managing straddles is a bit of a different game than strangles because it is a more aggressive strategy.

Therefore we like to manage straddles at a specific profit target that is more conservative than other strategies.

Study
  • Sold ATM straddles and managed them at:
    • 25%, 50%, 75%, Expiration
  • Compared results when IV Rank over/under 50%
  • S&P 500 ETF (SPY) - 45 DTE options
  • 2005 to present

We find that 25% of max profit as a management point has shown the best success rate and daily P/L out of all the other management points. This management point happens to be around 25-30 days to expiration.

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