When selling, we collect the maximum premium for that specific option chain.
Is that premium enough to cover the actual move netting a positive result? Our Research Team ran a study to find out!The Study
- S&P 500 (SPY)
- 2005 - Present
- Short ATM Straddles (50 Call, 50 Delta Put)
- at 25% of max profit
- Also analyzed the actual underlying movement
Actual moves in the underlying, on average, amount to 63% of the expected move. The Straddle credit, on average, covers 73% of the expected move. Historically, the Straddle results saw more consistent profits than long or short stock.