Market Measures

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Losses Relative to Buying Power: Varying Deltas

Market Measures

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Following up from last week’s study on strangle losses as a percentage of buying power, Tom and Tony discuss similar research the team conducted looking at different delta strikes.

STUDY

The team analyzed:

  • 16 delta Stranglesmanaged at 50% where possible
  • 30 delta Strangles – managed at 50% where possible
  • 50 delta Straddles – managed at 25% where possible
  • Analyzed only losing trades
RESULTS

The team found that it is rare, historically, for an undefined risk trade to lose the full buying power requirement.

Tune in for Tom and Tony’s full run down of all the numbers!

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