Market Measures

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Straddle | Study Recap

Market Measures

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Today, on this segment of "Market Measures", Tom Sosnoff and Tony Battista review some of the recent studies on trading and managing straddles.

Over the past few weeks we have aired some of our best straddle studies to date. With each study being a variation of trading or managing straddles it can be difficult to keep all the takeaways in line. Today’s segment summarizes these studies.

The May 29, 2015 segment examined managing straddles and which was better to sell, straddles or strangles. A table shows what is best based upon percentage of winners and average P/L per day.

The June 4, 2015 segment featured a study about scaling out of winners. What should be done with a multiple-contract straddle, eg. a three lot. The choices are managing all at 25%, 50% and at expiration or one third for each choice. The percentage of winners and P/L per day gave us a clear choice.

A segment on June 11, 2015 studied the strategy of going long straddles in a low implied volatility environment. This study covered straddles with an IV Rank below 25% and also ones with any IV Rank. It tested managing at different levels. The results of this study were obvious.

The June 12, 2015 segment studied the strategy of "legging out". It tested legging out of the puts and calls separately at 25% versus the whole position at 25% and also at expiration. Once again there is a clear winning method.

The segment on June 19, 2015 featured a study that tested if and when we should manage losses. Several choices were tested and one clearly stood out.

Watch this episode of "Market Measures" with Tom Sosnoff and Tony Battista for keen insights and a great recap on trading and managing short straddles.

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