With the recent flip flopping between high and low implied volatility environments, Tom and Tony set their sights on management techniques in either environment with the straddle strategy in mind. We use thewhen opportunity is present in:
- Low stocks
- Short-term options
- Small stocks
The guys filter for past occurrences of straddle trades in the S&P 500 (SPY) byover and under 50%. After doing this, they to see what strategy was optimal. Take a look at the results in the segment above.