Market Measures

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Rolling & Managing Winners - Combined

Market Measures

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Managing winners and rolling are both mechanics we (as tastytraders) employ frequently. What happens when we combine the two?

In this segment, we compared the long-term performance of four trading mechanics:

  • hold-to-expiration
  • managing winners
  • rolling
  • the combination of rolling and managing winners (either managing at 50% or maximum profit or rolling--whichever was triggered first)

This study was conducted on a position (short 30 Delta puts) basis as well as analyzing how an overall portfolio would be affected. The Research Team looked at Average Daily returns, Average P/L, Daily Standard deviation as well as a few other metrics to measure which of the mechanics above was most effective.

Watch this segment of Market Measures with Tom Sosnoff and Tony Battista for the exciting takeaways.

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