Why 45 Days to Expiration (DTE)?
The following is a back test showing that the sweet spot for DTE upon order entry is 45 days.
- Symbols: SPY, GLD, EWW, TLT, IWM
- Time: January 2009 – Present
- IVR: about 50%
- 1 SD Strangle
- Placed 3 trades closest 15, 45, and 90 DTE
- All positions held until expiration
When you incorporate high Imp Vol and managing winners at 50% the % of wins and P/L go up.
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- Managing winners at 50%
- Why Implied Volatility matters
- Staying active in low IV
- The returns and stuff
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