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Strangle Return on Capital: 16 Delta vs. 30 Delta

Market Measures

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tastytrade tends to manage short strangles for 50% of max profit and 25% for short straddles.

While we know that 1 standard deviation and ½ standard deviation strangles are historically net profitable trades, but which has seen a better return on capital?

The team broke down how they calculate return on capital for strangles before diving into the study.

Looking at 16 delta vs 30 delta strangles, we see differences surrounding most of our typical metrics. These include success rate and average P/L. However, when diving into the return on capital numbers, we see very similar results for ROC per day.

Tune in for Tom and Tony's full analysis and takeaways!

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