RUT Strangle - High Loss Threshold - 80 DTE

This post reviews the backtest results of selling one-lot options strangles on the Russell 2000 Index (RUT), initiated at 80 days-to-expiration (DTE).  The results in this post were derived from 2200 individual trades entered by the backtester.  The results are grouped by the delta of the short strikes.  For example, a 4 delta strangle is constructed by selling a -4 delta put, and selling a +4 delta call.

For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introductory article for this series: Option Strangle Series - Higher Loss Thresholds

In the trade metrics tables, I have highlighted the rows to indicate values that are in the upper half of the readings.  One of the metrics to note is the average P&L per day in percentage terms (Trade Details (%) - Avg. P&L / Day).  This is a measure of the P&L per day normalized to the maximum initial portfolio margin (initial PM) required for that trade run...it tells us the effectiveness of theta with respect to our margin requirement.

Also note, that all of the blog posts for the RUT strangle series have equity curves with identical y-axis scales, unless otherwise noted.

4 Delta Short Strikes
Short Options Strangle Equity Curves RUT 80 DTE 4 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 80 DTE 4 Delta Risk:Reward Exits
(click to enlarge)
For the 80 DTE, 4 delta RUT short strangles, the top exit approaches indicated by the metrics were the: 200:75, and 200:50 / ExOut 200:50 variations.  The highest return occurred with the 200:75 exit.


6 Delta Short Strikes
Short Options Strangle Equity Curves RUT 80 DTE 6 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 80 DTE 6 Delta Risk:Reward Exits
(click to enlarge)
For the 80 DTE, 6 delta RUT short strangles, the top exit approaches indicated by the metrics were again the: 200:75, ExOut 200:50, and 200:50 variations.  The highest return again occurred with the 200:75 exit.


8 Delta Short Strikes
Short Options Strangle Equity Curves RUT 80 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 80 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
For the 80 DTE, 8 delta RUT short strangles, the top exit approaches indicated by the metrics were the: 200:75, 200:50, and ExOut 200:50 variations.  The highest return again occurred with the 200:75 exit.

With the 80 DTE tests, the highest average P&L per day readings occurred with the 8 delta short strike variations, with an average of 0.17% per day.  The highest overall P&L per day reading was 0.21% per day and was tied between the 6 delta 200:75 variation and the 8 delta 200:50 variation.

Below are three images of scatter plots for the 80 DTE 8 delta short strangles.  The first image contains one scatter plot per strategy and shows P&L in dollar terms versus days-in-trade (DIT).  There is one visible trend in this set of scatter plots: the largest losses tend to occur at lower DIT values for trades with a loss based exit.  This is consistent across different DTE entries.

Short Options Strangle DIT versus P&L for RUT 80 DTE 8 Delta Risk:Reward Exits
(click to enlarge)

The second image shows P&L in terms of the initial at-the-money (ATM) implied volatility (IV) of the RUT.  This ATM IV was captured on the day each trade was initiated.  In general, there is a trend that higher P&L numbers are associated with higher ATM IV numbers...similar to the 45 DTE scatter plots.  This trend is also consistent across different DTE entries.

Short Options Strangle IV versus P&L for RUT 80 DTE 8 Delta Risk:Reward Exits
(click to enlarge)

The last image shows P&L in terms of the initial IV Rank for the RUT.  The IV Rank was captured on the day each trade was initiated.  In general, there is a trend that higher IV rank is associated with higher P&L.  Also, if you trade only when IV rank is higher, you can eliminate many losing trades.  Both of these trends were visible in the 45 DTE scatter plots as well.  This is also consistent across different DTE entries.

Short Options Strangle IV Rank versus P&L for RUT 80 DTE 8 Delta Risk:Reward Exits
(click to enlarge)

In the next post I will summarize the results for the RUT short strangle strategy.

FYI, I am posting results for higher delta strangles (at the same DTEs), as well as 8 additional exits on my Twitter feed...I am not posting these additional results to the blog.

As always, feel free to use any of the images/information on my blog...just be sure to reference this blog when sharing the information with others.


Follow my blog by email, RSS feed or Twitter.  All options are free, and are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter".  I follow blogs by RSS using Feedly, but any RSS reader will work.

RUT Strangle - High Loss Threshold - 73 DTE

This post reviews the backtest results of selling one-lot options strangles on the Russell 2000 Index (RUT), initiated at 73 days-to-expiration (DTE).  The results in this post were derived from 2312 individual trades entered by the backtester.  The results are grouped by the delta of the short strikes.  For example, a 4 delta strangle is constructed by selling a -4 delta put, and selling a +4 delta call.

For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introductory article for this series: Option Strangle Series - Higher Loss Thresholds

In the trade metrics tables, I have highlighted the rows to indicate values that are in the upper half of the readings.  One of the metrics to note is the average P&L per day in percentage terms (Trade Details (%) - Avg. P&L / Day).  This is a measure of the P&L per day normalized to the maximum initial portfolio margin (initial PM) required for that trade run...it tells us the effectiveness of theta with respect to our margin requirement.

Also note, that all of the blog posts for the RUT strangle series have equity curves with identical y-axis scales, unless otherwise noted.

4 Delta Short Strikes
Short Options Strangle Equity Curves RUT 73 DTE 4 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 73 DTE 4 Delta Risk:Reward Exits
(click to enlarge)
For the 73 DTE, 4 delta RUT short strangles, the top exit approaches indicated by the metrics were the: 300:50, 200:50 / ExOut 200:50, and 200:75 variations.  The highest return occurred with the 200:75 exit, but it's average P&L % / day number was lower than others.


6 Delta Short Strikes
Short Options Strangle Equity Curves RUT 73 DTE 6 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 73 DTE 6 Delta Risk:Reward Exits
(click to enlarge)
For the 73 DTE, 6 delta RUT short strangles, the top exit approaches indicated by the metrics were the: 300:50, ExOut 200:50 and 200:50 variations.  The highest return again occurred with the 200:75 exit, but it's average P&L % / day number was lower than others.


8 Delta Short Strikes
Short Options Strangle Equity Curves RUT 73 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 73 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
For the 73 DTE, 8 delta RUT short strangles, the top exit approaches indicated by the metrics were the: 300:50, ExOut 200:50, and 200:75 variations.

With the 73 DTE tests, the highest average P&L per day readings occurred with the 8 delta short strike variations, with an average of 0.21% per day.  The highest overall P&L per day reading occurred with the 6 delta 200:25 variation, at 0.26% per day. In the next post we will look at these same deltas and exits, but on the RUT 80 DTE short strangle.


As always, feel free to use any of the images/information on my blog...just be sure to reference this blog when sharing the information with others.


Follow my blog by email, RSS feed or Twitter.  All options are free, and are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter".  I follow blogs by RSS using Feedly, but any RSS reader will work.

RUT Strangle - High Loss Threshold - 66 DTE

This post reviews the backtest results of selling one-lot options strangles on the Russell 2000 Index (RUT), initiated at 66 days-to-expiration (DTE).  The results in this post were derived from 2336 individual trades entered by the backtester.  The results are grouped by the delta of the short strikes.  For example, a 4 delta strangle is constructed by selling a -4 delta put, and selling a +4 delta call.

For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introductory article for this series: Option Strangle Series - Higher Loss Thresholds

In the trade metrics tables, I have highlighted the rows to indicate values that are in the upper half of the readings.  One of the metrics to note is the average P&L per day in percentage terms (Trade Details (%) - Avg. P&L / Day).  This is a measure of the P&L per day normalized to the maximum initial portfolio margin (initial PM) required for that trade run...it tells us the effectiveness of theta with respect to our margin requirement.

Also note, that all of the blog posts for the RUT strangle series have equity curves with identical y-axis scales, unless otherwise noted.

4 Delta Short Strikes
Short Options Strangle Equity Curves RUT 66 DTE 4 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 66 DTE 4 Delta Risk:Reward Exits
(click to enlarge)
For the 66 DTE, 4 delta RUT short strangles, the top exit approaches indicated by the metrics were the: 200:50, ExOut 200:50, and 200:75 variations.  The highest return occurred with the 200:75 exit, but it's average P&L % / day number was lower.


6 Delta Short Strikes
Short Options Strangle Equity Curves RUT 66 DTE 6 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 66 DTE 6 Delta Risk:Reward Exits
(click to enlarge)
For the 66 DTE, 6 delta RUT short strangles, the top exit approaches indicated by the metrics were again the: 300:50, 200:50 and ExOut 200:50 variations.


8 Delta Short Strikes
Short Options Strangle Equity Curves RUT 66 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 66 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
For the 66 DTE, 8 delta RUT short strangles, the top exit approaches indicated by the metrics were the: 300:50, 200:75, and 200:50 variations.

With the 66 DTE tests, the highest average P&L per day readings occurred with the 6 delta short strike variations, with an average of 0.19% per day.  The highest overall P&L per day reading occurred with the 8 delta 200:25 variation, at 0.26% per day. In the next post we will look at these same deltas and exits, but on the RUT 73 DTE short strangle.


Follow my blog by email, RSS feed or Twitter.  All options are free, and are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter".  I follow blogs by RSS using Feedly, but any RSS reader will work.

RUT Strangle - High Loss Threshold - 59 DTE

This post reviews the backtest results of selling one-lot options strangles on the Russell 2000 Index (RUT), initiated at 59 days-to-expiration (DTE).  The results in this post were derived from 2312 individual trades entered by the backtester.  The results are grouped by the delta of the short strikes.  For example, a 4 delta strangle is constructed by selling a -4 delta put, and selling a +4 delta call.

For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introductory article for this series: Option Strangle Series - Higher Loss Thresholds

In the trade metrics tables, I have highlighted the rows to indicate values that are in the upper half of the readings.  One of the metrics to note is the average P&L per day in percentage terms (Trade Details (%) - Avg. P&L / Day).  This is a measure of the P&L per day normalized to the maximum initial portfolio margin (initial PM) required for that trade run...it tells us the effectiveness of theta with respect to our margin requirement.

Also note, that all of the blog posts for the RUT strangle series have equity curves with identical y-axis scales, unless otherwise noted.

4 Delta Short Strikes

Short Options Strangle Equity Curves RUT 59 DTE 4 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 59 DTE 4 Delta Risk:Reward Exits
(click to enlarge)
For the 59 DTE, 4 delta RUT short strangles, the top exit approaches indicated by the metrics were the: 300:50 and 100:50 variations.  The highest return occurred with the 200:75 exit, but it's other metrics were lower.


6 Delta Short Strikes
Short Options Strangle Equity Curves RUT 59 DTE 6 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 59 DTE 6 Delta Risk:Reward Exits
(click to enlarge)
For the 59 DTE, 6 delta RUT short strangles, the top exit approaches indicated by the metrics were again the: 300:50 and 100:50 variations.  The 200:75 variation looked better at this short strike delta than with 4 delta short strikes.


8 Delta Short Strikes
Short Options Strangle Equity Curves RUT 59 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 59 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
For the 59 DTE, 8 delta RUT short strangles, the top exit approaches indicated by the metrics were the: 300:50, ExOut 200:50, and 200:50 variations.

With the 59 DTE tests, the highest average P&L per day readings occurred with the 8 delta short strike variations, with an average of 0.19% per day.  The highest overall P&L per day reading occurred with the 8 delta 300:50 and ExOut 200:50 variations, at 0.22% per day. In the next post we will look at these same deltas and exits, but on the RUT 66 DTE short strangle.


Follow my blog by email, RSS feed or Twitter.  All options are free, and are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter".  I follow blogs by RSS using Feedly, but any RSS reader will work.

RUT Strangle - High Loss Threshold - 52 DTE

This post reviews the backtest results of selling one-lot options strangles on the Russell 2000 Index (RUT), initiated at 52 days-to-expiration (DTE).  The results in this post were derived from 2336 individual trades entered by the backtester.  The results are grouped by the delta of the short strikes.  For example, a 4 delta strangle is constructed by selling a -4 delta put, and selling a +4 delta call.

For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introductory article for this series: Option Strangle Series - Higher Loss Thresholds

In the trade metrics tables, I have highlighted the rows to indicate values that are in the upper half of the readings.  One of the metrics to note is the average P&L per day in percentage terms (Trade Details (%) - Avg. P&L / Day).  This is a measure of the P&L per day normalized to the maximum initial portfolio margin (initial PM) required for that trade run...it tells us the effectiveness of theta with respect to our margin requirement.

Also note, that all of the blog posts for the RUT strangle series have equity curves with identical y-axis scales, unless otherwise noted.

4 Delta Short Strikes
Short Options Strangle Equity Curves RUT 52 DTE 4 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 52 DTE 4 Delta Risk:Reward Exits
(click to enlarge)
For the 52 DTE, 4 delta RUT short strangles, the top exit approaches indicated by the metrics were: 100:50, 200:75, and ExOut 200:50


6 Delta Short Strikes
Short Options Strangle Equity Curves RUT 52 DTE 6 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 52 DTE 6 Delta Risk:Reward Exits
(click to enlarge)
For the 52 DTE, 6 delta RUT short strangles, the top exit approaches indicated by the metrics were: 200:75, 100:50, and ExOut 200:50.


8 Delta Short Strikes
Short Options Strangle Equity Curves RUT 52 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 52 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
For the 52 DTE, 8 delta RUT short strangles, the top exit approaches indicated by the metrics were: 200:75, 100:50 and 300:50.

With the 52 DTE tests, the highest average P&L per day readings occurred with the 6 delta short strike variations, with an average of 0.14% per day.  The highest overall P&L per day reading occurred with the 6 delta 200:75 variation, at 0.19% per day. In the next post we will look at these same deltas and exits, but on the RUT 59 DTE short strangle.


Follow my blog by email, RSS feed or Twitter.  All options are free, and are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter".  I follow blogs by RSS using Feedly, but any RSS reader will work.

RUT Strangle - High Loss Threshold - 45 DTE

This is the first article in a series that will review the performance of selling options strangles on the Russell 2000 Index (RUT).  For background on the setup for the backtests, as well as the nomenclature used in the charts and tables below, please see the introductory article for this series: Option Strangle Series - Higher Loss Thresholds

This post looks at selling one-lot strangles on the RUT, initiated at 45 days-to-expiration (DTE).  The results displayed below represent data from 2288 individual trades entered by the backtester.  The results are grouped by the delta of the short strikes.  For example, a 4 delta strangle is constructed by selling a -4 delta put, and selling a +4 delta call.

In the trade metrics tables, I have highlighted some of the rows of data to indicate values that are in the upper half of the readings.  One of the metrics to note is the average P&L per day in percentage terms (Trade Details (%) - Avg. P&L / Day).  This is a measure of the P&L per day normalized to the maximum initial portfolio margin (initial PM) required for that trade run...it tells us the effectiveness of theta with respect to our margin requirement.

4 Delta Short Strikes
Short Options Strangle Equity Curves RUT 45 DTE 4 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 45 DTE 4 Delta Risk:Reward Exits
(click to enlarge)
For the 45 DTE, 4 delta RUT short strangles, the top exit approaches indicated by the metrics were the ExOut NA:50, 200:75, and 200:50/ExOut 200:50.


6 Delta Short Strikes
Short Options Strangle Equity Curves RUT 45 DTE 6 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 45 DTE 6 Delta Risk:Reward Exits
(click to enlarge)
For the 45 DTE, 6 delta RUT short strangles, the top exit approaches indicated by the metrics were the 200:75, ExOut NA:50, and 300:50.


8 Delta Short Strikes
Short Options Strangle Equity Curves RUT 45 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
Short Options Strangle Trade Metrics RUT 45 DTE 8 Delta Risk:Reward Exits
(click to enlarge)
For the 45 DTE, 8 delta RUT short strangles, the top exit approaches indicated by the metrics were: ExOut NA:50, 200:75 and 300:50.  Recall that the ExOut variations will exit: 1) if the market moves below the short put, or 2) if the market moves above the short call, or 3) if the profit is 50% of the credit received, or 4) at expiration...which ever comes first.

Below are three sets of scatter plots for the 45 DTE 8 delta short strangles.  The first set contains one scatter plot per strategy and shows P&L in dollar terms versus days-in-trade (DIT).  The one obvious trend in these scatter plots is that the largest losses tend to occur at lower DIT values.  Also, as the DIT increase, the losses tend to get smaller for most of the exit approaches.

Short Options Strangle DIT versus P&L for RUT 45 DTE 8 Delta Risk:Reward Exits
(click to enlarge)

The second set of images shows P&L in terms of the initial at-the-money (ATM) implied volatility (IV) of the RUT.  This ATM IV was captured on the day each trade was initiated.  In general, there is a trend that higher P&L numbers are associated with higher ATM IV numbers.  Also, the largest losses tend to occur at lower IV.

Short Options Strangle IV versus P&L for RUT 45 DTE 8 Delta Risk:Reward Exits
(click to enlarge)

The last set of images shows P&L in terms of the initial IV Rank for the RUT.  The IV Rank was captured on the day each trade was initiated.  In general, there is a trend that higher IV rank is associated with higher P&L.  Also note that if you trade only when IV rank is higher, you can eliminate many losing trades.

Short Options Strangle IV Rank versus P&L for RUT 45 DTE 8 Delta Risk:Reward Exits
(click to enlarge)

In the next post we will look at these same deltas and exits, but on the RUT 52 DTE short strangle.


Follow my blog by email, RSS or Twitter.  All options are free, and are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter".  I follow blogs by RSS using Feedly, but any RSS reader will work.

SPX Strangle - Backtest Results Summary

Over the last six blog posts we looked at the backtest results for over 13,900 options strangles sold on the S&P 500 Index (SPX).  Eight different exit approaches were tested on these strangles, including:

  1. Strangle (100:50) - exit if the trade has a loss of 100% of its initial credit OR if the trade has a profit of 50% of its initial credit OR at Expiration.
  2. Strangle (200:50) - exit if the trade has a loss of 200% of its initial credit OR if the trade has a profit of 50% of its initial credit OR at Expiration.
  3. Strangle (300:50) - exit if the trade has a loss of 300% of its initial credit OR if the trade has a profit of 50% of its initial credit OR at Expiration.
  4. Strangle (NA:50) - exit if the trade has a profit of 50% of its initial credit OR at Expiration.
  5. Strangle-ExOut (NA:50) - exit if the moves beyond either short strike OR if the trade has a profit of 50% of its initial credit OR at Expiration.
  6. Strangle-ExOut (200:50) - exit if the moves beyond either short strike OR if the trade has a loss of 200% of its initial credit OR if the trade has a profit of 50% of its initial credit OR at Expiration.
  7. Strangle (200:25) - exit if the trade has a loss of 200% of its initial credit OR if the trade has a profit of 25% of its initial credit OR at Expiration.
  8. Strangle (200:75) - exit if the trade has a loss of 200% of its initial credit OR if the trade has a profit of 75% of its initial credit OR at Expiration.

We applied these exits to strangles constructed with different delta short strikes (4, 6, and 8 delta) at different days to expiration (45, 52, 59, 66, 73, and 80).  For background information associated with the results in this post, please visit the following posts:


To get a qualitative sense of the performance of these different delta/DTE combinations, we'll first review their equity curves.  Recall that the y-axis scale is the same for all of the equity curves (-1000% to 1200%).  The thumbnails are small, but larger images will be displayed if you click on them.

SPX Short Strangle Curves RUT 45 to 59 DTE 4, 6, and 8 Delta Risk:Reward Exits
SPX Short Strangle Curves RUT 66 to 80 DTE 4, 6, and 8 Delta Risk:Reward Exits
(click to enlarge)

Now let's move on to the metrics.  Before we do, I should probably describe the table format that I am using to display these results. Each set of metrics is displayed as a pair of heat-map tables.  The first table in the pair groups columns by DTE first, followed by short strike delta.  The second table in the pair displays the same metrics, but groups columns by short strike delta first, followed by DTE.  The first column of each table lists the strategy variation, including the exit used. This column uses the strategy description nomenclature that I used in the last several posts.  Hopefully this makes sense, but feel free to submit a comment for this post if you'd like me to clarify the format / nomenclature further.

The first pair of tables shows the average normalized P&L per day by delta, DTE, and strategy. The highest daily returns are concentrated at the 8 delta short strikes at the higher DTE values.  This can be seen by the high concentration of green on the right side of the second table of the pair of tables.  Additionally, there are clusters of performance for each of the exit approaches...there is almost always a cluster of delta/DTE combinations that work for a particular exit strategy.

SPX Short Strangle Summary Normalized Percent P&L Per Day
(click to enlarge)

The second pair of tables shows the average P&L per trade by delta, DTE, and strategy.  Again, the highest overall returns occur in the 8 delta region of the tables.  Additionally, the 200:75 and 300:50 have broader out-performance across delta and DTE.

SPX Short Strangle Summary Normalized Percent P&L Per Trade
(click to enlarge)

The third pair of tables shows the win percent / win rate by delta, DTE, and strategy.  The highest win rates are more highly correlated to exit approach than either delta or DTE.  The NA:50 and ExOut NA:50 strategies have the highest win rates...many in the high 90% range.  The strangles are similar to the iron condors, in that the greater your tolerance for unrealized losses, the higher your win rate.  Another point to note, a common sense point,  the more profit you attempt to take out of the trade, the lower your win rate.  You can see this when comparing the 200:25, 200:50, and 200:75.

SPX Short Strangle Summary Win Rate
(click to enlarge)

In the fourth pair of tables, we see the Sortino Ratio by delta, DTE, and strategy.  Unsurprisingly, the highest Sortino's were associated with the lowest risk:reward exit...the 100:50.  There were a couple other clusters of high Sortino's at 59 DTE with the 200:50 and 200:75 exits, and the 73 DTE with the 200:75 and 300:50 exits.

SPX Short Strangle Summary Sortino Ratio
(click to enlarge)

The fifth, and last, pair of tables shows the profit factor by delta, DTE and strategy.  Some of the highest profit factors occurred in regions with high Sortino values.  For example, the 59 DTE with the 200:50 and 200:75 exits, and the 73 DTE with the 200:75 and 300:50 exits.

SPX Short Strangle Summary Profit Factor
(click to enlarge)

Besides the 13,900+ trades used to generate the results above, I backtested an additional 42,000+ SPX strangle strategy variations (with other exits and deltas).  In total, I backtested more than 56,000 SPX strangle trades in all.  I posted the results from these additional trades on Twitter (@DTRTrading).  You can find links to all of these tweets/posts on the SPX Strangle Summary Page.

Looking at the trade metrics for all of the 56,000+ SPX short strangle trades yields more solid patterns.  The table below shows the top 20 strategies with the highest normalized average P&L per trade.  The 73 and 80 DTE, 16 and 20 delta variations took most of the top spots, with five of the 12 delta variations present as well.  The top seven spots were managed at either 300:75 or 200:75.  Out of all of the top 20, there were six managed at 300:75, and four managed at 200:75.

SPX Short Strangle - Top 20 Exits - Normalized Percent P&L Per Trade
(click to enlarge)

The table below lists the top 20 strategies ordered by their win rate.  None of the top 20 utilized a loss exit.  15 of the 20 took profits at 25%, with the other 5 taking profits at 50%.  Smaller deltas were also a trait of the high win rate trades.

SPX Short Strangle - Top 20 Exits - Summary Win Rate
(click to enlarge)

In the next post, we will start looking at the short strangle on the Russell 2000 index (RUT).


As always, feel free to use any of the images/information on my blog...just be sure to reference this blog when sharing the information with others.


Follow my blog by email, RSS feed or Twitter.  All options are free, and are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter".  I follow blogs by RSS using Feedly, but any RSS reader will work.