June 22, 2017

Options Backtesting Results

Historical average return: +$481.92 (backtested over 17.5 years)
Historical success probability: 59.4%

Summary

Implied volatility on the S&P 500 is at its lowest level since 2007, and three-month straddles break even after only a 4% move in either direction as a result. Backtesting shows that the S&P 500 exceeds this move 60% of the time since 2000.

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