The recent sharp declines we have seen in the market may have some thinking about buying puts, but aswe are more inclined to sell calls. Has one performed better historically?
A study was conducted using SPY (S&P 500 ETF) from 2005 to 2015. We entered a trade every business day (3,000 occurrences) using the options closest to 45. We compared selling the 30 calls and held them to expiration to buying the 16, 30 and 50 delta put. We also tested , 100%, or 200% if possible. If not, the trades were held to expiration.
Since we may look to buy premium whenis low, we ran the same study but sorted for occurrences when the VIX was below 15.
Buying puts was not profitable in either scenario.
Watch this segment of Market Measures with Tom Sosnoff and Tony Battista for the valuable takeaways and a detailed study comparing buying puts to selling calls.