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Market Measures

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Theta Expectation - Straddles

Market Measures

We have researched reasonable expectations of time decay capture. Depending on the strategy allocation, the numbers have consistently returned 25-35% of our daily theta. Today, we are looking at same concept for Straddles.

A study was conducted using the SPY since 2005. We recorded the daily Theta capture ratio selling ATM straddles with a 45 DTE. We also recorded the range and volatility of this ratio with and without management.

Watch this segment of Market Measures with Tony for the valuable takeaways and the results of our study on the percentage of Theta collection one should reasonably expect to capture by trading Straddles.

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