June 22, 2017
Historical average return:
(backtested over 17.5 years)
Historical success probability: 59.4%
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.