The IV risk with short strangles

Discussion in 'Options' started by MrAgi1, Sep 24, 2022.

  1. You clearly miss my point. Covered calls would be the worst strategy as your cash is tied up in some stock that will bite you eventually. I've traded through several bear markets -most newbies got burned this year. As for strangles- I'm saying they can be ok but impossible to manage when the market gaps± 3% at open. I am NOT comparing CCs to strangles.
     
    #61     Oct 29, 2022
  2. Last edited: Oct 29, 2022
    #62     Oct 29, 2022
  3. newwurldmn

    newwurldmn

    #63     Oct 29, 2022
  4. taowave

    taowave

    You should run backtests before making these assertions.I think it would really help

    Im not sure what yor point is regarding "cash is tied up in some stock that will bite you eventually" is a strange thing to say..Of course something/everything will bite you sooner or later...Its a question of how bad relative to the returns,watch your leverage...

    If you are going to make a definitive statement,post what cover call you are referring to,i.e DTE,percent of spot etc. Then suggest which strategy is better,and i can backtest..

    FWIW,the SPY 30 day rolling covered call strategy had the worst max drawdown percentage compared to straddles and strangles,and by 50%+ more.It had a slightly higher return and higher Sharpe, which all makes sense if you think about it.

    The one thing to consider is its not a fair test to compare a strangle/straddle with a covered call in a predominantly up market.



     
    Last edited: Oct 29, 2022
    #64     Oct 29, 2022
  5. I WAS NOT COMPARING STRANGLES TO COVERED CALLS.
     
    #65     Oct 29, 2022
  6. Obviously it's not a blow up strategy - I have not traded the beginners strategy since 2002. I only trade the index.
     
    #66     Oct 29, 2022
  7. taowave

    taowave

    Yes you did,and you were incorrect..

    Read what you wrote..

     
    #67     Oct 29, 2022
  8. newwurldmn

    newwurldmn

    I’m not sure how a strategy that slightly outperforms the market be “the worst trade”
     
    #68     Oct 29, 2022
  9. newwurldmn

    newwurldmn

    I skimmed the article. It’s very conceptual. But if you take his concepts as basis for you arguments then a short strangle is doubly worse because you lose on both tails instead of just one.
     
    #69     Oct 29, 2022
    taowave likes this.
  10. Is there still anyone around wearing watches? :)
     
    #70     Oct 29, 2022