BRFS At-the-Money Straddle Performance History

How to Use the Symbol ATM Straddle Analysis

This page takes week-by-week results from the front month at-the-money straddle, and compares performance based on how long the straddle is held for

The report is based on the concept of buying 1 at-the-money straddle (1 call, 1 put) for the nearest expiration, starting on a certain day of the week, and held until a later point that week

The results provide the Win Rate (a "win" would be considered an increase in value over the week), Average Return, Median Return, and Minimum and Maximum Return over the analysis period (up to 12 weeks)

Compare the results for 10 different holding period combinations -- Monday-to-Tuesday, Monday-to-Wednesday, Tuesday-to-Friday, etc.

Results are only available for market trading dates -- if there is a holiday on the start or end date, the results for that period are left blank

Delta-Neutral Hedging Techniques

Toggle between choices to compare delta-neutral hedging results

Buying and selling at-the-money straddles can incorporate several different hedging techniques, so we wanted to provide the ability for the user to see results from different methods

Unhedged ATM Straddle is simply buying the straddle long. The net return at the end is based on the ending value of the options against the original value (the cost of 1 long straddle). No hedging is done

Delta-Neutral ATM Straddle is buying 1 long straddle and hedging the net delta to neutral at the initial observation. The return is based on the total change in value of both the straddle and whatever shares of stock are necessary to neutralize the initial delta

Daily Re-hedging is similar to the above delta-neutral technique, but in addition, the net delta is hedged to neutral at the end of each day

Breakdown of Results for One Holding Period

For each holding period, click the View link to see a more detailed breakdown of week-by-week results for that period

This includes the starting contract value and the ending contract value of the straddle

Click Below for Sample Screenshot of Report: