Weekly vs. MonthlyStrangles

The Setup

• May 2011 - Dec 2014 (AAPL, AMZN, GOOG, GS, IBM, SLV, SPY)

• First trading day of the month sell 1 SD strangle closet to 45 DTE

• First day of the week sell 1 SD strangle closest to 5 DTE

• Close trade at 50% profit, 2X loss, expiration whichever comes first

Weekly Monthly Weekly > 50 Monthly > 50

Total Profit $22,544 $18,989 $11,227 $2,141

Average Days Held 3 24 3 21

Total # Trades 832 294 184 50

Avg Profit/Trade $27.10 $64.59 $61.02 $42.83

% Held Expiration 27.4% 4.08% 29.9% 6%

% Held Exp Profitable 61.8% 41.7% 63.6% 66.7%

% All Profitable 82.1% 86.1% 82.1% 86%

% Exit 50% 65.1% 84.4% 63% 82%

% Exit 2X 7.45% 11.6% 7.07% 12%

Max Loss -$1,416 -$2,836 -$1,416 -$2,456

1.  Market Measures:  8-19-13 “Weekly vs. Monthly"

Slides: https://s3.amazonaws.com/tastytradepublicmedia/show/9/episode/5658/slide_decks/en/MM081913_Weekly_v_Monthly_.pdf

• Prefer duration to give time to be right • Theta decay decreases as expiration approaches (OTM)

2.  Market Measures:  9-5-14 “Weekly Strangles"

Slides: https://s3.amazonaws.com/tastytradepublicmedia/show/9/episode/13623/slide_decks/en/MM090514Weekly_Strategies_REV1.pdf

• Pros: Binary events, Increased occurrences, calendars • Cons: Gamma Risk, Not scalable, Liquidity, Adjustment

options

3.  Back to Cool:  6-4-14 “Weekly Strangles or Monthly Strangles"

Video:  https://www.tastytrade.com/tt/shows/wdis-back-to-cool/episodes/weekly-strangles-or-monthly-strangles-06-04-2014?locale=en-US

• Discussion format is different and good for beginning traders • Looking for opportunity • Can allow for trades to close prior to earnings dates

Questions?

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