SPX Strangle - 2019 Q1 Review

We looked at the performance of a few of the better performing SPX strangles in a prior article (here). In this post, we'll revisit those strangle variations and see how they performed in the first quarter of this year. Their performance will be compared to their historical performance from January 2007 through December 2018.

These are the variations we'll review:

1. 59 DTE - 16 Delta Short Strikes (100:50) / 2 DTE - 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 2 DTE.
2. 59 DTE - 16 Delta Short Strikes (100:50) / 29 DTE - 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 2 DTE.
3. 59 DTE - 16 Delta Short Strikes (200:50) / 2 DTE - 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 2 DTE.
4. 59 DTE - 16 Delta Short Strikes (200:50) / 29 DTE - 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 2 DTE.
5. 45 DTE - 16 Delta Short Strikes (200:50) / 2 DTE - 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 2 DTE.
6. 45 DTE - 16 Delta Short Strikes (200:50) / 22 DTE - 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 2 DTE.

The 45 DTE variations follow the entry and exit criteria popularized by TastyTrade here:

• https://www.tastytrade.com/tt/shows/market-measures/episodes/market-measures-07-17-2018
• https://www.tastytrade.com/tt/shows/market-measures/episodes/why-and-why-not-2-sd-strangles-04-03-2019

For each variation, I show one table and two charts. The table shows the percent return on portfolio margin. The first chart shows these same return numbers, but compared to their historical returns (max, min, average, and quartiles).The second chart shows the DIT numbers for each variation compared to the average for this variation.

Let's get right to the results for each of these variations.


59 DTE - 16 Delta Short Strikes (100:50) / 2 DTE

The average monthly return for Q1 was -12%, versus the 2007 to 2018 monthly average of +3%. Total return for the quarter was -37%. Pretty bad return numbers. The average DIT for Q1 was 23, which was below the 2007 to 2018 average of 27 DIT.

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59 DTE - 16 Delta Short Strikes (100:50) / 29 DTE

The average monthly return for Q1 was -7%, versus the 2007 to 2018 monthly average of +2%. Total return for the quarter was -22%. Again, pretty bad return numbers. The average DIT for Q1 was 20, which was below the 2007 to 2018 average of 24 DIT.

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59 DTE - 16 Delta Short Strikes (200:50) / 2 DTE

The average monthly return for Q1 was +1%, versus the 2007 to 2018 monthly average of +3%. Total return for the quarter was +3%. Pretty bad return numbers, but at least we have positive returns overall. The average DIT for Q1 was 32, which was above the 2007 to 2018 average of 29 DIT.

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59 DTE - 16 Delta Short Strikes (200:50) / 29 DTE

The average monthly return for Q1 was +7%, versus the 2007 to 2018 monthly average of +3%. Total return for the quarter was +20%. Finally some good return numbers. The average DIT for Q1 was 23, which was below the 2007 to 2018 average of 25 DIT.

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45 DTE - 16 Delta Short Strikes (200:50) / 2 DTE

The average monthly return for Q1 was -26%, versus the 2007 to 2018 monthly average of +1%. Total return for the quarter was -73%. Horrible return numbers for the quarter. The average DIT for Q1 was 32, which was above the 2007 to 2018 average of 23 DIT.

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45 DTE - 16 Delta Short Strikes (200:50) / 22 DTE

The average monthly return for Q1 was -19%, versus the 2007 to 2018 monthly average of +1%. Total return for the quarter was -57%. Again, horrible return numbers for the 45 DTE variations. The average DIT for Q1 was 21, which was above the 2007 to 2018 average of 19 DIT.

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In the next post, we'll review the Q1 returns for the SPX straddle variations.


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