Market Measures

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Straddle Premiums & Expected Moves

Market Measures

When selling Straddles, 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 Delta Call, 50 Delta Put)
  • Managed at 25% of max profit
  • Also analyzed the actual underlying movement
The Results

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.

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