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4 Comments

  1. Spintwig Groupie
    January 12, 2022 @ 4:01 pm

    Spintwig, I appreciate all the work you’ve put into these backtests and making your research public – you are to be commended.

    With this particular backtest, would you anticipate these same results with SPX options as opposed to SPY? I can’t think of a way they would statistically different, but my brain IS kinda small….

    Reply

    • spintwig.com
      January 13, 2022 @ 10:32 am

      You’re welcome! Happy to hear the data is helpful.

      Yes, the results between SPX and SPY are expected to be substantially similar. SPX is more commission efficient while SPY has narrower spreads. These two effects essentially cancel each other out.

      Reply

  2. M
    January 20, 2022 @ 12:34 am

    I feel bad for clogging up your comments section w all my comments, but I got another question. This seems like a very good companion strategy to pair with your 0 DTE SPX short puts. Is there a reason why you don’t mention making this a part of your strategy?

    Reply

    • spintwig.com
      January 21, 2022 @ 12:39 am

      Don’t feel bad! You’re not clogging anything up 🙂

      There’s not enough data, IMHO, to draw a conclusion about 0-3 DTE short-call performance.

      That being said, I’m working on an SPX short call 7 DTE study that has a backtest start date of Jan 2007. This will paint a better picture of historical performance characteristics of a short-dated options strat than the 2.5 years of data in this study. I anticipate having it published by the last Friday of this month.

      Reply

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