This segment recaps strategies about when, how and why to roll options that are part of a short strangle that has been tested. The goal of this recap is to provide a few “rules of thumb” from the previous segments for this important part of a tastytrader's overall strategy.
A segment on 7/6/15 tested whether or not a trader should roll if one side fo the short strangle is tested and if so, which strike. A table shows a quick recap of the study.
An earlier segment on 6/26/15 tested when we should roll. It tested rolling when the strike was breached versus the break-even being breached along with what strike to roll to according to delta. A table is shown with the results.
A segment on 6/26/15 tested which strike to roll to and tested strikes with 0.30, 0.35 and 0.40 deltas. The results of the study allows a trader to choose which strategy is best for that trader.
A segment on 7/8/15 tested whether or not a trader should roll for duration and if a position was rolled to add duration should the strike be adjusted. A table is shown with those results. A table is also shown for the optimum strategy between rolling the tested side of the strangle, the untested side or both sides. An example of what seemed to be the best strategy was given.
Watch this segment of Market Measures with Tom Sosnoff and Tony Battista for a recap of studies testing various strategies on when (or if), how and why options should be rolled in a short strangle that has had one of the strikes tested. Two solid “rules of thumb” are gleaned from this recap.