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Research Specials LIVE

Research Special: "Short Strangles: Delta Neutral or Built in Bias?"

Research Specials LIVE

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

Beef, Frank, and James recap some recent data regarding strangle strike selection. Should we stick with 16 delta or skew down the call strike?

They guys look at examples of both types of trades. The first is a strangle with a short call and put at the 16 delta level. The second looks at selling a 16 delta put and a short call that matches the put credit. This adds some short delta to the trade while increasing the total credit.

The team backtested both strategies in IWM and SPY to analyze historical metrics on these trades.

Ultimately the guys conclude that both trades worked historically and the metrics panned at as they would have expected. Traders can choose their strikes and strangle bias to fit their portfolio!

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