Rolling and managing has historically worked better than holding to expiration. As some of our studies have shown,. What if we initiated a short immediately before a market crash?
In this study, we tested two "worst case" scenarios: sell puts right before the 2008 and 2015 crashes. We comparedthis strategy to holding to . From there, we also looked at comparing rolling to buying and holding SPY in a model portfolio to determine how both recover after a crash.
Watch this segment of Market Measures with Tom Sosnoff and Tony Battista for the interesting takeaways on volatility, portfolio recovery and trade defense.