Weekly strangles and short-term paychecks sound appealing, but our go-to duration is 45 days. Should we alter our trading to sell weekly strangles? This piece compares performance for strangles with 7 days to expiration to those with 45 days.The Study:
- SPY, 1
- Winners at 50%
- 2010 – 2017 (Limited weekly data before 2010)
- 45 days to
- 7 days to expiration
The longer duration strangles outperformed in most performance categories, including the average P/L and win rate. Although theis four times more with the shorter duration strangles, they have narrower breakevens, lower trade performance, and there is less time to manage if the trade goes against you.