We have found that an at-the-money (ATM) calendar spread is a more profitable strategy than a debit vertical spread. Adding another wrinkle to the mix, how does a diagonal compare to these to low Implied Volatility Strategies?
Today, Tom Sosnoff and Tony Battista take a look at placing an ATM debit spread, an ATM calendar spread and an ATM diagonal spread. The guys then see how these low IV strategies compare based on their overall profit and their win rate. After large moves, 5% in 10 trading days, they find out that your best bet is a Calendar spread!