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(at-the-money) call and put 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
- Constructed 50 delta put and call calendars
- Long 60 DTE Options, Short 30 DTE Options
- Compared varying targets
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.