Sell an ATM call and ATM put, collecting premium when price stays near strike.
| Symbol | Return % | Sharpe | Max DD % | Win % | Avg/trade % | Trades |
|---|---|---|---|---|---|---|
| SPY | -926.6% | -0.46 | +1099.8% | +42.1% | -48.8% | 19 |
| QQQ | -1427.9% | -0.52 | +1682.5% | +42.1% | -75.2% | 19 |
| IWM | -1673.1% | -0.62 | +1654.8% | +36.8% | -88.1% | 19 |
| DIA | -9.5% | -0.01 | +238.8% | +52.6% | -0.5% | 19 |
| Avg | -1009.3% | -0.40 | +1169.0% | +43.4% | — | 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)