https://alphapursuits.com/wp-content/uploads/2017/03/green-journal.jpg 605 600 Tony https://alphapursuits.com/wp-content/uploads/2017/03/AP-logo-300x78.png Tony2017-08-25 18:08:052021-04-24 13:54:478.25.2017 Update – Short Strangle On Options With Longer Days To Expiration
8.25.2017 Update – Short Strangle On Options With Longer Days To Expiration
It has been almost 2 months since I started testing to sell strangle with longer days to expiration options.
Now that I have some data, I decided to do a correlation study to see if my hypothesis was correct. In case this is the first time you are reading this blog, here is the blog post that started it all.
The idea was to trade long days to expiration options with high Vega and Implied volatility. Based on the results and the correlation study, it seems high Vega and high volatility do seem to help the winning ratio.
For more details please watch the following video.
Short Strangle Summary Table
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