Market Measures - October 26, 2020 - Review of Expected Performance


Oct 26 2020 8 mins   5
By trading 16∆ strangles in SPY and managing at 21 days, we can expect to profit 25% of the credit over the long run. But there are other strangles we can trade with a different % that we receive. Higher delta strangles decay slower as a % of their value, but generate more raw P/L per day.