1. Paul
    November 20, 2020 @ 8:56 am

    Excellent backtest. Nice work.
    Taking it one step further, for the 30D or 50D, what happens if one covers when the option goes ITM?
    And another step further, un-covers if it goes back OTM? And repeat.


    • spintwig.com
      November 22, 2020 @ 10:30 am

      Thanks Paul! When you say cover the position when it goes ITM, are you thinking of a stop loss that triggers to exit the option position or a short QQQ position that opens to delta hedge?


  2. DS1111
    January 14, 2021 @ 12:13 pm

    Tastytrade teaches that you are better off managing early (50% or 21DTE). They beat on this point almost daily. Isn’t this study contradicting their findings? Can you comment further about this discrepancy? I’m trying to understand why Tastytrade data is different. Thanks.


    • spintwig.com
      January 15, 2021 @ 1:56 am

      They do. It’s been a while since I checked out their content but I recall the early management benefit was demonstrated on SPY. My SPY 45DTE cash-secured study confirms their findings: https://spintwig.com/spy-short-put-strategy-performance/#Sharpe_Ratio-2

      My SPY leveraged study does show some improvements for some of the delta targets but it’s not very compelling aside from the materially smaller starting capital needed to implement the strategy: https://spintwig.com/spy-short-put-45-dte-leveraged-options-backtest/#Sharpe_Ratio-2

      Short answer: different underlying, different results.

      A performance-improving mechanic or signal on one ticker doesn’t necessarily carry over to others. Also, timing luck is likely involved. I know TT liked to open a single position then roll it. My methodology opens a position daily in order to mitigate timing luck.


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