Market Measures

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Probabilities vs. Static Short Delta

Market Measures

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Being short indices has been a tough trade the last few years with the seemingly endless rally. Today, Tom and Tony take a look at research regarding short Naked Calls, a way to express a short bias (with much better probabilities) than short stock.

Looking from 2005 to present, the team simulated short Calls at both the 16 Delta and 30 Delta levels. They then compared these trades to short stock simulated at the same date. Given the difficulty of assigning profit targets to short stock, they use the profit targets from the short calls.

The results speak for themselves with short calls being the clear histprical winner.

Tune in for Tom and Tony's full rundown and takeaways.

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