Sell an ATM call and ATM put, collecting premium when price stays near strike.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | +955.6% | 1.33 | +23.4% | +84.2% | +50.3% | 19 |
| QQQ | +861.2% | 1.16 | +62.9% | +89.5% | +45.3% | 19 |
| IWM | +743.5% | 1.08 | +54.9% | +84.2% | +39.1% | 19 |
| DIA | +779.4% | 1.11 | +48.0% | +89.5% | +41.0% | 19 |
| Avg | +834.9% | 1.17 | +47.3% | +86.8% | — | 19 |
| Parameter | Default | Description |
|---|---|---|
| dte | 45 | Days to expiration |
Short straddles collect theta by selling both ATM options. They profit in low realized volatility regimes and lose in sharp directional moves.
# Short Straddle: -C(K) - P(K)