Market Measures

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Selling Puts into Strength

Market Measures

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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:
  • SPY
  • 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.

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