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97: Expected vs. Actual Win Rates When Selling Options [SPY Short Strangle Backtest]

EPISODE · Jun 8, 2017 · 25 MIN

97: Expected vs. Actual Win Rates When Selling Options [SPY Short Strangle Backtest]

from The Option Alpha Podcast · host Kirk Du Plessis

Show notes: http://optionalpha.com/show97Today we're going to use our new Trader's Toolbox and options backtesting software to test win rates when selling options. Because the truth is many people have this huge "rub" with options trading and expected vs. actual win rates. They assume that if we place a new trade with an initial probability of success of 70% that the trade will win at exactly 70% over the long-term. As you'll see today, that's just not the case when you account for the implied volatility premium inherent in the options market. So tune in as we look at two different SPY short strangle backtests.

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97: Expected vs. Actual Win Rates When Selling Options [SPY Short Strangle Backtest]

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