Delta hedged straddles on U.S. real estate ETF IYR

Sept. 14, 2016

Options Backtesting Results

Historical average return: +$1,247.99 (backtested over 4.1 years)
Historical success probability: 88.6%


Implied volatility on IYR, the U.S. real estate ETF, has risen to the 86th percentile over the past week as we lead into next week's Fed meeting. Options straddles are pricing in a 4.5% move in the ETF after the announcements from the meeting. A backtest of selling those straddles delta hedged shows an 88% chance of success.

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