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Short Put Enhancement

Market Measures

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Tom and Tony discuss the effect of adding a short call to our At-The-Money short put. How did this perform?

Study
  • SPY, 2005-2017

  • Portfolio of $1 million

  • Compared:

    • Allocating 30% short ATM puts, managed at 50%
    • Allocating 30% of short 50P/16C Strangle, managed at 50%
Results

We find that adding a short call to our portfolio of short puts did not add to or hinder performance, but adding the call did reduce our portfolio volatility by 0.4% per month.

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