You clearly miss my point. Covered calls would be the worst strategy as your cash is tied up in some stock that will bite you eventually. I've traded through several bear markets -most newbies got burned this year. As for strangles- I'm saying they can be ok but impossible to manage when the market gaps± 3% at open. I am NOT comparing CCs to strangles.
The IV risk with short strangles
- Thread starter MrAgi1
- Start date
I will try to find it -pretty sure it was UBS did a 12 year study -meanwhile found this: https://www.evidenceinvestor.com/are-covered-calls-too-good-to-be-true/
Last edited:
here's a nice paper:
https://www.aqr.com/Insights/Research/Journal-Article/Covered-Calls-Uncovered
My backtests have shown that from 2011-2019 call overwriting underperformed the broad index by about 1%/year.
No way was it a "blow up strategy"
You should run backtests before making these assertions.I think it would really help
Im not sure what yor point is regarding "cash is tied up in some stock that will bite you eventually" is a strange thing to say..Of course something/everything will bite you sooner or later...Its a question of how bad relative to the returns,watch your leverage...
If you are going to make a definitive statement,post what cover call you are referring to,i.e DTE,percent of spot etc. Then suggest which strategy is better,and i can backtest..
FWIW,the SPY 30 day rolling covered call strategy had the worst max drawdown percentage compared to straddles and strangles,and by 50%+ more.It had a slightly higher return and higher Sharpe, which all makes sense if you think about it.
The one thing to consider is its not a fair test to compare a strangle/straddle with a covered call in a predominantly up market.
Im not sure what yor point is regarding "cash is tied up in some stock that will bite you eventually" is a strange thing to say..Of course something/everything will bite you sooner or later...Its a question of how bad relative to the returns,watch your leverage...
If you are going to make a definitive statement,post what cover call you are referring to,i.e DTE,percent of spot etc. Then suggest which strategy is better,and i can backtest..
FWIW,the SPY 30 day rolling covered call strategy had the worst max drawdown percentage compared to straddles and strangles,and by 50%+ more.It had a slightly higher return and higher Sharpe, which all makes sense if you think about it.
The one thing to consider is its not a fair test to compare a strangle/straddle with a covered call in a predominantly up market.
Last edited:
I WAS NOT COMPARING STRANGLES TO COVERED CALLS.
Obviously it's not a blow up strategy - I have not traded the beginners strategy since 2002. I only trade the index.
I’m not sure how a strategy that slightly outperforms the market be “the worst trade”
I skimmed the article. It’s very conceptual. But if you take his concepts as basis for you arguments then a short strangle is doubly worse because you lose on both tails instead of just one.
Rolex is a dumb, unoriginal, cliche, boring watch....for guys....who are simple and unoriginal and insecure and status-seeking.
I just bought this Citizen watch on eBay today. I highly doubt, I will ever randomly see this watch on another person's wrist.
Is there still anyone around wearing watches?
