4 Comments

  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.

    Reply

    • 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?

      Reply

  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.

    Reply

    • 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.

      Reply

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