Apple options put/call skew creates attractive opportunities for longs

Aug. 18, 2016

Options Backtesting Results

Historical average return: +$735.20 (backtested over 16.6 years)
Historical success probability: 74.6%


An options backtest of risk reversals (short put and long call) on Apple shows significant positive expected value at today's pricing. This specific risk reversal has a net credit at inception and equal performance on average to owning AAPL shares since 2000.

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