Market Measures

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Russell 2000: 50 Delta Calendar Spreads

Market Measures

Index calendars have been a running theme for Market Measures over the past 6 months. Today, the team takes a different approach, looking at the 50 delta (at-the-money) call and put calendars in RUT. Previous studies focused on the 40 delta call or put calendars with a built in, slight directional bias.

The Study
  • Russell 2000 Index (RUT)
  • 2005 - Present
  • All days with IVR below 25
  • Constructed 50 delta put and call calendars
  • Long 60 DTE Options, Short 30 DTE Options
  • Compared varying management targets
The Results

Ultimately, the call calendars were a scratch to a small loss historically. The put calendars, on the other hand, had more favorable results.

Check out Tom and Tony's discussion for their full insight and breakdown of the results.

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