Market Measures - July 8, 2015 - Rolling | Extending Duration
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Market Measures - July 8, 2015 - Rolling | Extending Duration

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Descripción de Market Measures - July 8, 2015 - Rolling | Extending Duration

When rolling out in time, where should we roll our strikes to? This segment examines the idea that rolling increases our probabilities and our overall profitability. There are different ways we can roll a trade. Understanding the different ways allows a trader to choose which strategy works best. A study was conducted by selling a strangle in the SPY on the 1st of the month with the option closest to 45 DTE. If one strike was breached, we rolled. All options were then held to expiration. Three different methods were tested. The first was not rolling at all. The second rolled the tested side out to the next month using the same strike. The third rolled the tested side to the next month and to the 84% OTM strike. When we roll out in time we are extending duration and giving ourselves more time for the underlying to revert in price. When we roll out in time and to a further strike we will be buying an expensive option and selling a cheaper option so we will typically have to place these for a debit. Watch this segment of "Market Measures" with Tom Sosnoff and Tony Battista to see the results of our study on rolling and see which method stands out as the best.

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rolling Extending Duration

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