RUT Straddle - 73 DTE - Results Summary

This is the sixth article in a series looking at the backtest results of selling at-the-money (ATM) options straddles on the Russell 2000 index (RUT).  For background on the setup for the backtests, as well as the nomenclature used in the tables below, please see the introductory article for this series: Option Straddle Series - P&L Exits

This post reviews the backtest results for 4160 options straddles sold on the RUT at 73 days-to-expiration (DTE).  Eight different loss approaches were tested on these straddles.  On top of these eight loss approaches, tests were conducted with no profit taking, and profit taking at 10%, 25%, 35%, and 45% of the credit received.  In the next article, the performance of trades initiated at 80 DTE will be explored.  You can find the prior RUT straddle summary posts at the links below:

• RUT Straddle - 38 DTE - Results Summary
• RUT Straddle - 45 DTE - Results Summary
• RUT Straddle - 52 DTE - Results Summary
• RUT Straddle - 59 DTE - Results Summary
• RUT Straddle - 66 DTE - Results Summary

The results for these backtests are summarized in six heat map tables.  In these tables, each row corresponds to a different loss exit percentage.  For example, the first row (25) corresponds to the strategy variations where losses were taken at 25% of the credit received.  These rows have values from 25 to 200.  The columns are a little more complicated, and are grouped first by IV rank (IVR) level, and then by profit exit percentage.  You can see that each IVR percentage level contains five columns (10, 25, 35, 45, and NA)...with each column representing a profit taking percentage.  For example, the first column lists all of the strategy variations where the IVR was less than 25% and profits were taken at 10% of the credit received.

The first table shows the average normalized P&L per day by IVR, profit taking percentage, and loss taking percentage. We see the familiar pattern of the IVR > 50% level outperforming the other IVR levels in terms of P&L per day.  The highest daily returns were concentrated in the 45% profit taking level with IVR > 50%.  These were the highest P&L per day readings that we have seen in the RUT straddle backtests, with many readings above 1%.

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The second table shows the average P&L per trade by IVR, profit taking percentage, and loss taking percentage.  The IVR > 50% level again had the highest P&L per trade readings, with the 45% profit taking level having the greatest strength.  This 45% profit taking level had many readings of 64% returns (based on initial PM requirement).  These were the highest P&L per trade readings that we have seen in the RUT straddle backtests.

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The third table shows the win percent / win rate by IVR, profit taking percentage, and loss taking percentage.  The lower the profit taking percentage, the higher the win rate for a given IVR grouping.  The highest win rates occur with profit taking at 10%.  This 10% level had a number of win rates at 100% for the IVR > 50% level.  There were also a number of win rates of 94%, 95%, and 96%.

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In the fourth table, we see Sortino Ratios by IVR, profit taking percentage, and loss taking percentage.  There were a few cells in the table that displayed as "######" (undefined) because of the 100% win rates associated with these strategy variations.  There were some very large Sortino readings in the IVR > 50% group...some of the biggest we've seen for straddles, with many greater than 1.  The largest Sortinos were concentrated in the IVR > 50% group, with profit taking at 45% and loss taking between 75% and 200%.

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The fifth table shows profit factor by IVR, profit taking percentage, and loss taking percentage. The region of greatest strength was the IVR > 50% group.  The largest value was 35.8 and occurred in the IVR > 50% group, with profit taking at 45% and loss taking between 75% and 200%.

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The last table shows the average days-in-trade (DIT) by IVR, profit taking percentage, and loss taking percentage.  Quicker profit taking, translates into shorter time in the trade.

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Which variation of the 73 DTE RUT straddle is best?  If I was going to sell a 73 DTE ATM RUT straddle every month, I would go with the non-IVR filtered variation, taking profits at 25%, with a loss threshold of 50%.  This would put the lower bounds of my gains at 50% of my losses (25/50).  The win rate should be approximately 86%, profit factor at 3.9, and an average P&L per trade of 25%.

Based on all of my SPX and RUT straddle backteests, an IVR of greater than 50% occurs during only about 20% of all possible monthly trade entries.  When this occurs at a 73 DTE trade entry, I would increase my trade size,  take profits closer to 35%, and move my loss taking level to 75%.  This would also cause my trade duration to move from about 41 DIT to 50 DIT.

You can find links to all of my RUT straddle articles, and RUT straddle tweets on the RUT Straddle Summary Page.  In the next post, we will look at the automated backtest results for the short straddle on the RUT at 80 DTE.


Follow my blog by email, RSS feed or Twitter (@DTRTrading).  All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter". 

RUT Straddle - 66 DTE - Results Summary

This is the fifth article in a series looking at the backtest results of selling at-the-money (ATM) options straddles on the Russell 2000 index (RUT).  For background on the setup for the backtests, as well as the nomenclature used in the tables below, please see the introductory article for this series: Option Straddle Series - P&L Exits

This post reviews the backtest results for 4160 options straddles sold on the RUT at 66 days-to-expiration (DTE).  Eight different loss approaches were tested on these straddles.  On top of these eight loss approaches, tests were conducted with no profit taking, and profit taking at 10%, 25%, 35%, and 45% of the credit received.  In future articles, the performance of trades initiated at 73 DTE and 80 DTE will be explored.  You can find the prior RUT straddle summary posts at the links below:

• RUT Straddle - 38 DTE - Results Summary
• RUT Straddle - 45 DTE - Results Summary
• RUT Straddle - 52 DTE - Results Summary
• RUT Straddle - 59 DTE - Results Summary

The results for these backtests are summarized in six heat map tables.  In these tables, each row corresponds to a different loss exit percentage.  For example, the first row (25) corresponds to the strategy variations where losses were taken at 25% of the credit received.  These rows have values from 25 to 200.  The columns are a little more complicated, and are grouped first by IV rank (IVR) level, and then by profit exit percentage.  You can see that each IVR percentage level contains five columns (10, 25, 35, 45, and NA)...with each column representing a profit taking percentage.  For example, the first column lists all of the strategy variations where the IVR was less than 25% and profits were taken at 10% of the credit received.

The first table shows the average normalized P&L per day by IVR, profit taking percentage, and loss taking percentage. We see the familiar pattern of the IVR > 50% level outperforming the other IVR levels in terms of P&L per day.  The highest daily returns were concentrated in the 45% profit taking level with IVR > 50%, and also the 50% and 75% loss taking levels with IVR > 50%.  The top strategies were the (50:25) and the (50:45) using the IVR > 50% filter.

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The second table shows the average P&L per trade by IVR, profit taking percentage, and loss taking percentage.  The IVR > 50% level had the highest P&L per trade readings, with the 45% profit taking level and NA level having the greatest strength.  The top strategy was the (50:45) variation using the IVR > 50% filter.

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The third table shows the win percent / win rate by IVR, profit taking percentage, and loss taking percentage.  The lower the profit taking percentage, the higher the win rate for a given IVR grouping.  The highest win rates occur with profit taking at 10%.  This 10% level had the highest win rates using the IVR > 25% and IVR > 50% levels.

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In the fourth table, we see the Sortino Ratio by IVR, profit taking percentage, and loss taking percentage.  The Sortinos at 66 DTE follow a similar pattern to the Sortinos at 59 DTE...there is strength across IVR groups at the 25%, 50%, and 75% loss taking levels.  The region of greatest strength is the non-IVR filtered group...this group contained the largest Sortino Ratios that we've seen across all of the RUT straddle backtests up to this point.  The largest value was 1.05 for the non-IVR filtered (50:45) variation.

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The fifth table shows the profit factor by IVR, profit taking percentage, and loss taking percentage. There is again strength across IVR groups within the loss taking levels of 25%, 50%, and 75%.  The region of greatest strength was the IVR > 50% group.  The largest value was 5.5 with the (50:45) variation in the IVR > 50% group.

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The last table shows the average days-in-trade (DIT) by IVR, profit taking percentage, and loss taking percentage.  Quicker profit taking, translates into shorter time in the trade.

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Which variation of the 66 DTE RUT straddle is best?  The (50:45) variation stands out in all of the metrics above.  Personally, this profit taking level is too aggressive for my style of trading.  Although I do appreciate the risk:reward ratio for this variation...which is close to risk one to make one, with a 74% win rate for the non-IVR filtered variation.

If I was going to sell a 66 DTE ATM RUT straddle every month, I would likely go with the non-IVR filtered variation ... taking profits between 25% and 35%, with a loss threshold of 75%.  This would put the lower bounds of my gains at 33% of my losses (25/75).  The win rate would be between 81% and 87%, profit factor between 3.0 and 3.4, and a P&L per trade between 20% and 27%.

Based on all of my SPX and RUT straddle backteests, an IVR of greater than 50% occurs during only about 20% of all possible monthly trade entries.  When this occurs at a 66 DTE trade entry, I would increase my trade size and take profits closer to 25% than 35%, and move by loss taking level to 50%.

You can find links to all of my RUT straddle articles, and RUT straddle tweets on the RUT Straddle Summary Page.  In the next post, we will look at the automated backtest results for the short straddle on the RUT at 73 DTE.


Follow my blog by email, RSS feed or Twitter (@DTRTrading).  All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter". 

RUT Straddle - 59 DTE - Results Summary

This is the fourth article in a series looking at the backtest results of selling at-the-money (ATM) options straddles on the Russell 2000 index (RUT).  For background on the setup for the backtests, as well as the nomenclature used in the tables below, please see the introductory article for this series: Option Straddle Series - P&L Exits

This post reviews the backtest results for 4120 options straddles sold on the RUT at 59 days-to-expiration (DTE).  Eight different loss approaches were tested on these straddles.  On top of these eight loss approaches, tests were conducted with no profit taking, and profit taking at 10%, 25%, 35%, and 45% of the credit received.  In future articles, the performance of trades initiated at other DTE (66, 73, and 80) will be explored.  You can find the prior RUT straddle summary posts at the links below:

• RUT Straddle - 38 DTE - Results Summary
• RUT Straddle - 45 DTE - Results Summary
• RUT Straddle - 52 DTE - Results Summary

The results in this post are summarized in six heat map tables.  In these tables, each row corresponds to a different loss exit percentage.  For example, the first row (25) corresponds to the strategy variations where losses were taken at 25% of the credit received.  These rows have values from 25 to 200.  The columns are a little more complicated, and are grouped first by IV rank (IVR) level, and then by profit exit percentage.  You can see that each IVR percentage level contains five columns (10, 25, 35, 45, and NA)...with each column representing a profit taking percentage.  For example, the first column lists all of the strategy variations where the IVR was less than 25% and profits were taken at 10% of the credit received.

The first table shows the average normalized P&L per day by IVR, profit taking percentage, and loss taking percentage. These 59 DTE tests were typical of past tests, in that the IVR > 50% group outperformed the other IVR groups in terms of P&L per day.  This out-performance was strongest at the loss taking levels of 50% and 75%, and this pattern spanned several IVR groupings.  The highest daily returns were concentrated in the IVR > 50% group, with profit taking at 25% and loss taking at 50% and 75%.

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The second table shows the average P&L per trade by IVR, profit taking percentage, and loss taking percentage.  The relative under-performance of the 10% profit taking level is striking in this table.  We typically see this profit taking level under-perform in P&L per trade readings, but not by such a large amount.  The IVR > 50% level showed the highest P&L per trade readings.  The highest readings were at loss taking levels of 50% and 75% and carried to expiration...no profit taking threshold.  The loss taking levels of 50% and 75% showed strength across IVR groups.

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The third table shows the win percent / win rate by IVR, profit taking percentage, and loss taking percentage.  The highest win rates occur at lower profit taking levels...the lower the profit taking percentage, the higher the win rate for a given IVR grouping.  The highest win rates occur with profit taking at 10%, which is a consistent pattern across both the RUT and SPX straddle tests.  The highest win rates in the table below, are some of the highest we've seen across the RUT straddle tests.

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In the fourth table, we see the Sortino Ratio by IVR, profit taking percentage, and loss taking percentage.  There are two patterns in this table that are interesting.  The first, is that the the highest Sortino Ratios are concentrated in the low loss taking levels of 25%, 50%, and 75%.  In this band, the greatest region of strength appears in the non-IVR filtered group (NA).

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The fifth table shows the profit factor by IVR, profit taking percentage, and loss taking percentage.  There is again an region of strength with loss taking levels of 25%, 50%, and 75%.

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The last table shows the average days-in-trade (DIT) by IVR, profit taking percentage, and loss taking percentage.  Quicker profit taking, translates into shorter time in the trade.  In general, the higher the DTE and trade initiation, the longer it will take to reach the desired profit taking level.

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Which variation of the 59 DTE straddle is best? If I was going to sell a 59 DTE ATM RUT straddle every month, I would likely go with the non-IVR filtered variation ... taking profits at 25%, with a loss threshold of 75%.  This would put my gains at 1/3 my losses (25/75), and a win rate at approximately 86%.  For the (75:25) variation, the average P&L per day is 0.59% and the average P&L per trade is 20%, measured in terms of margin required.  When the IVR goes above 50% (at trade entry for new trades), I would increase position size and keep the profit and loss exits the same.

You can find links to all of my RUT straddle articles, and RUT straddle tweets on the RUT Straddle Summary Page.  In the next post, we will look at the automated backtest results for the short straddle on the RUT at 66 DTE.


Follow my blog by email, RSS feed or Twitter (@DTRTrading).  All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter". 

RUT Straddle - 52 DTE - Results Summary

This is the third article in a series looking at the backtest results of selling at-the-money (ATM) options straddles on the Russell 2000 index (RUT).  For background on the setup for the backtests, as well as the nomenclature used in the tables below, please see the introductory article for this series: Option Straddle Series - P&L Exits

This post reviews the backtest results for 4120 options straddles sold on the RUT at 52 days-to-expiration (DTE).  Eight different loss approaches were tested on these straddles.  On top of these eight loss approaches, tests were conducted with no profit taking, and profit taking at 10%, 25%, 35%, and 45% of the credit received.  In future articles, the performance of trades initiated at other DTE (59, 66, 73, and 80) will be explored.  You can find the prior RUT straddle summary posts at the links below:

• RUT Straddle - 38 DTE - Results Summary
• RUT Straddle - 45 DTE - Results Summary

The results in this post are summarized in six heat map tables.  In these tables, each row corresponds to a different loss exit percentage.  For example, the first row (25) corresponds to the strategy variations where losses were taken at 25% of the credit received.  These rows have values from 25 to 200.  The columns are a little more complicated, and are grouped first by IV rank (IVR) level, and then by profit exit percentage.  You can see that each IVR percentage level contains five columns (10, 25, 35, 45, and NA)...with each column representing a profit taking percentage.  For example, the first column lists all of the strategy variations where the IVR was less than 25% and profits were taken at 10% of the credit received.

The first table shows the average normalized P&L per day by IVR, profit taking percentage, and loss taking percentage. This set of 52 DTE tests was unusual, in that the IVR > 50% level did not outperform the other IVR levels.  The highest daily returns were concentrated in the 45% profit taking levels with IVR < 50%, IVR > 25%, and NA (non-IVR filtered).  There were two strong IVR > 50% variations...(25:10) and (50:10).

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The second table shows the average P&L per trade by IVR, profit taking percentage, and loss taking percentage.  The 45% profit taking levels stood out again.  In addition, there was an area of strength with an IVR > 50% and profit taking at NA...trades carried to expiration.

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The third table shows the win percent / win rate by IVR, profit taking percentage, and loss taking percentage.  The highest win rates occur at lower profit taking levels...the lower the profit taking percentage, the higher the win rate for a given IVR grouping.  The highest win rates occur with profit taking at 10%....with this profit taking level, the win percentages were nearly identical across IVR filter levels.

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In the fourth table, we see the Sortino Ratio by IVR, profit taking percentage, and loss taking percentage.  I think it's interesting how the trades initiated at high IVR levels under-performed in terms of Sortino.  The IVR > 50% level had the lowest Sortino numbers followed by the IVR > 25% level

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The fifth table shows the profit factor by IVR, profit taking percentage, and loss taking percentage.  The variations with the lowest Sortino Ratio numbers were also the variations with the lowest profit factor readings.  We've seen this trend in past tests as well...the areas with strong Sortinos are typically the areas with strong profit factors...and vice versa.

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The last table shows the average days-in-trade (DIT) by IVR, profit taking percentage, and loss taking percentage.  Quicker profit taking, translates into shorter time in the trade.

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Which variation of the 52 DTE RUT straddle is best?  Truthfully, I'm not a big fan of any of these variations based on the test results in this post.  Also, the patterns that we noticed in the past straddle tests on the RUT and SPX did not repeat in these results.  This was unusual.

If I had to sell a 52 DTE ATM RUT straddle every month, I would likely go with the non-IVR filtered variation ... taking profits at 25%, with a loss threshold of 75%.  This would put my gains at 33% of my losses (25/75), and a win rate at approximately 83%.

You can find links to all of my RUT straddle articles, and RUT straddle tweets on the RUT Straddle Summary Page.  In the next post, we will look at the automated backtest results for the short straddle on the RUT at 59 DTE.


Follow my blog by email, RSS feed or Twitter (@DTRTrading).  All options are available on the top of the right hand navigation column under the headings "Subscribe To RSS Feed", "Follow By Email", and "Twitter". 

RUT Straddle - 45 DTE - Results Summary

This is the second article in a series looking at the backtest results of selling at-the-money (ATM) options straddles on the Russell 2000 index (RUT).  For background on the setup for the backtests, as well as the nomenclature used in the tables below, please see the introductory article for this series: Option Straddle Series - P&L Exits

This post reviews the backtest results for 4080 options straddles sold on the RUT at 45 days-to-expiration (DTE).  Eight different loss approaches were tested on these straddles.  On top of these eight loss approaches, tests were conducted with no profit taking, and profit taking at 10%, 25%, 35%, and 45% of the credit received.  In future articles, the performance of trades initiated at other DTE (52, 59, 66, 73, and 80) will be explored.  You can find the 38 DTE post here.

The results in this post are summarized in six heat map tables.  In these tables, each row corresponds to a different loss exit percentage.  For example, the first row (25) corresponds to the strategy variations where losses were taken at 25% of the credit received.  These rows have values from 25 to 200.  The columns are a little more complicated, and are grouped first by IV rank (IVR) level, and then by profit exit percentage.  You can see that each IVR percentage level contains five columns (10, 25, 35, 45, and NA)...with each column representing a profit taking percentage.  For example, the first column lists all of the strategy variations where the IVR was less than 25% and profits were taken at 10% of the credit received.

The first table shows the average normalized P&L per day by IVR, profit taking percentage, and loss taking percentage. The highest daily returns are concentrated in the IVR > 50% columns, specifically the column associated with profit taking at 35%.  I will try to Tweet these specific equity curves sometime in the next few days.

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The second table shows the average P&L per trade by IVR, profit taking percentage, and loss taking percentage.  The area with the highest P&L per trade values was IVR > 50% and profit taking at 35%, 45%, and NA.  Most of the P&L per trade numbers are higher for the 45 DTE variations compared to the 38 DTE variations...as you'd expect.

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The third table shows the win percent / win rate by IVR, profit taking percentage, and loss taking percentage.  The highest win rates occur at lower profit taking levels...the lower the profit taking percentage, the higher the win rate for a given IVR grouping.  The highest win rates occur with an IVR < 25%, and profit taking at 10%....all of these variations have 93% win rates except for the (25:10) and (50:10) variations.  This is a familiar pattern across DTE and products.

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In the fourth table, we see the Sortino Ratio by IVR, profit taking percentage, and loss taking percentage.  The highest Sortino Ratios were associated with the same IVR > 50% group, profit taking at 25%, 35%, 45% and loss taking at 150%, 175%, and 200%.

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The fifth table shows the profit factor by IVR, profit taking percentage, and loss taking percentage.  The largest profit factor values occurred at IVRs > 50%, profit taking at 10%, 25%, 35%, and 45%, and loss taking at 150%, 175%, and 200%.  The variations with the highest profit factors were also the variations with the highest Sortino Ratios.

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The last table shows the average days-in-trade (DIT) by IVR, profit taking percentage, and loss taking percentage.  Quicker profit taking, translates into shorter time in the trade.

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Which variation of the 45 DTE straddle is best?  None of the variations really jump out at me as good options.  If I was going to sell a 45 DTE ATM RUT straddle every month, I would likely go with the non-IVR filtered variation ... taking profits at 35%, with a loss threshold of 75%.  This would put my gains at 50% of my losses (35/75), and a win rate at approximately 74%.  When the IVR goes above 50% (at trade entry for new trades), I would increase position size and keep the profit and loss exits the same (or become more conservative with both).

In the next post, we will look at the automated backtest results for the short straddle on the RUT at 52 DTE.


Follow my blog by email, RSS feed or Twitter (@DTRTrading).  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.