Market Measures

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Visualizing Tail Risk

Market Measures

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Over the course of 13 years, we have had success over time for short premium strategies. However, there were outlier moves to the downside. How does managing early reduce a trader's exposure to these black swan events.

  • SPY, 2005-present, 45 DTE
  • 16 delta strangles
  • Compared managing at 21 DTE and holding to expiration

We find that although on average, holding to expiration is more profitable per trade, you reduce 67% of outlier moves (P/L less that -$500 in a trade) by managing at 21 DTE.

Tune in as Tom and Tony interpret the results!

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