Some of ourhas indicated that we should the untested side of a if one side is tested, so we decided to run a test to validate this strategy.
A study was conducted using SPY (S&P 500 ETF) from 2005 to 2015 (3,000 occurrences). We sold a 1Strangle every business day using the options closest to 45 .
If the remaining time to expiration was more than four weeks, we held the position to expiration. If less than four weeks remained, we rolled the untested side to the 30strike. After any adjustments were made, the positions were taken to .
The call side was tested 25% of the time, while thewere tested 14% of the time. The results when we rolled were compared to rolling only puts, only calls, or both. The results gave us a definitive answer.
Watch this segment of Market Measures with Tom Sosnoff and Tony Battista for the valuable takeaways and the detailed results related to rolling the untested side of a strangle.