Short Naked Puts benefit in a strong bull market. However, we know that markets don't only go one direction all the time. How do these shortcompare in a portfolio long-term relative to a Strangle? Study:
- SPY, 2005-2917
- Closest for 45 Days to
- Analyzed 30 Delta Naked Puts to 1 Stangles
- Held to expiration & also at 50% of maximum profit
While the statistics for average performance in the past decade favors the 30short put, the long-term portfolio performance tells a different story. We also compared the volatility of these two portfolios, looking at average daily standard deviation at expiration and also when managed as a winner.
Watch this segment of Market Measures with Tom Sosnoff and Tony Battista for the exciting takeaways and the results of our study on short put and short strangle portfolios.