Market Measures

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Managing Winners | Varying Durations

Market Measures

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It takes an average of 23 days for 1 Standard Deviation, 45 DTE SPY Strangles to reach 50% (of maximum profit) winners. This is close to the midpoint of the expiration cycle. Does this apply to varying durations?

In this study, we tested the duration of managing winners for varying expiration cycles: 30, 60, 90, 120, 150, 180, 210, 240, 300 days to expiration. We used our classic SPY 1SD Strangles. We also recorded the average daily P/L for managing winners and compared it to holding-to-expiration.

Watch this segment of Market Measures with Tom Sosnoff and Tony Battista and understand how long it takes to reach 50% winners at a variety of trade durations.