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RUT Straddle Articles

This page lists most of the P&L exit, RUT Straddle backtesting posts from this blog.  This series looked at lower profit and loss levels than were tested on the strangles.  The loss levels ranged from 25% to 200% of the credit received, while the profit levels ranged from 10% to 45% of the credit received.

Straddle - P&L Exit Overview Blog Posts:

Straddle Results Summary Blog Posts:

RUT Straddle Tweets:

38 DTE

45 DTE

52 DTE

59 DTE

66 DTE

73 DTE

80 DTE


2 comments:

Fernando MARTIN GUTIERREZ said...

Great job and great website for people like me who are starting to learn about options. It´s a pitty the research finished on August 21st, just before the market crashed. I suppose the results would change a little.

Dave said...

Thanks for your feedback Fernando.

Agreed. It's unfortunate that I didn't start my SPX and RUT straddle series a little later, so that I could include the Aug 24 drop in the testing.

These straddle tests do include several market drops including the 2008/2009 period as well as the 2010 flash crash...not to mention other drops in between Jan 2007 through Aug 2015 expiration cycles.

I'm not sure the Aug 24 drop would have had too big of an impact on the total results...the win rate would have dropped slightly along with returns.

Thanks,
Dave

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