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  1. uno
    August 21, 2020 @ 8:17 am

    Thank you. Looks like better one compared to SPY due to less capital requirements. 10 to 16D seems to be sweetspot.

    Are you sure The “50D hold-till-expiration” strategy had the greatest risk-adjusted return among the option strategies?

    Is it 5D?


      August 21, 2020 @ 8:35 am

      You’re welcome, and good catch – it’s actually the 10D hold-till-expiration. Typo fixed.


  2. Viper
    August 21, 2020 @ 8:41 am

    Thanks again for another great study.

    The more of these I see, the more that it seems each is just a reflection of the bull market that pervaded most of the test. Of course the 50D’s are going to show as the most profitable; the market was up enough times that you frequently collected that bigger premium. In fact, had you included 60D in your study, I’d bet good money that those would have shown as more profitable than the 50D’s, because you’d be collecting both intrinsic and extrinsic value in many cases as the market marched steadily up.


      August 22, 2020 @ 9:09 pm

      Glad to hear you’re enjoying these!

      Yeah, the options data only goes back to 2005 on SPY. The history is even shorter for other underlying. I’ll update these studies several years from now to see if the data suggests anything different.

      Indeed, once positions are opened ITM they’re essentially leveraged plays on the underlying.


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