Window of time

woodsfog_cmp_rndWhy 45 Days to Expiration (DTE)?

The following is a back test showing that the sweet spot for DTE upon order entry is 45 days.

The Study:

  • 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

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When you incorporate high Imp Vol and managing winners at 50% the % of wins and P/L go up.

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