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Weekly Calendars

Market Measures

For this segment of Market Measures, Tom and Tony show why weekly calendars tend to not be profitable. Time spreads- Calendars and Diagonals- are low-risk strategies. But the downside of the small risk is that profits come in considerably slow. today, tastytrade wanted to determine if shorter-term time spreads could help improve performance, since the front month premium decay is much faster.

Study:
  • SPY, 2005 to present
  • Bought Weekly Calendars:
    -Sold 7 DTE 50 delta put
    -Bought 45 DTE 50 Delta put
  • Compared:
    -P/L at front month expiration date
    -Managed winners at 10% and 20%
Results:

No matter how we handle the position, the weekly calendars struggle to provide a positive return over the long-term. Also, the win ratio is too small to be a profitable long-term strategy. For more information on managing these trades (especially profitable Weekly Calendars), tune in to the segment or check out the slides.

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