Market Measures

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Same Delta, Different Strategies

Market Measures

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

Delta is an important option greek and a gauge of directional risk. How do strategies compare if they have similar initial risks? For example, how are the performances of 16 delta short Naked Puts versus 16 delta unbalanced Strangles?

In today’s study, we compare the results of two following strategies in SPY:

  • Short 16 delta put
  • Short 30/14 delta unbalanced (

We tested the performances by using three different methods. The results are very interesting and convincing. Watch this segment of “Market Measures” with Tom and Tony for the thorough analysis and takeaways.

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