With an increase in two sided market activity, the Research Team looks into the historical performance of short puts into market sell-offs.The Study:
- 2005 – Present
- 30 Delta Puts
- 45 DTE
- Held to Expiration and Managed at 21 DTE
- Compared Selling Puts after Varying Percent Sell-Offs in SPY:
- 0.5%, 1% and 1.5%
2% down moves in the SPY are fairly uncommon as more than 90% of down moves are smaller than 2%. Although selling puts into down moves can be an intimidating strategy, waiting to do so results in increased profitability when trades are both held to expiration and managed early.