Market Measures

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Straddle Premiums & Expected Moves

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.

When selling Straddles, we collect the maximum premium for that specific option chain.

Is that premium enough to cover the actual move netting a positive result? Our Research Team ran a study to find out!

The Study
  • S&P 500 (SPY)
  • 2005 - Present
  • Short ATM Straddles (50 Delta Call, 50 Delta Put)
  • Managed at 25% of max profit
  • Also analyzed the actual underlying movement
The Results

Actual moves in the underlying, on average, amount to 63% of the expected move. The Straddle credit, on average, covers 73% of the expected move. Historically, the Straddle results saw more consistent profits than long or short stock.

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