Market Measures

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SPX Calendars: Manage Our Losers?

Market Measures

In the past, we found that Calendar Spreads perform best when managed between 10% and 25%. Today we look at the effects of managing losers at 50%.

Study:
  • SPX, 2005- Present
  • Long Put Calendar
    • 60 DTE, Long 40 Delta Put
    • 30 DTE, Short same strike Put
  • Managed winners at 10% or 25% of debit paid
  • Managed losers at 50% of the debit paid
  • All other trades held to front month expiration
Results:
  • Managing winners aggressively helps to boost success rate and mitigating losses
  • Managing losers makes sense theoretically, but this study shows that managing losers actually stops out a large number of trades that eventually become profitable.

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