CustomMenu

Sunday, January 4, 2015

Extra Long Put Iron Condor - Summary Statistics

In this post, we will look at the summary statistics for just the RUT and SPX delta neutral ICs.  The image below shows the summary statistics of the RUT delta neutral IC version for all of the days-to-expiration (DTE) and all of the short strike deltas shown on this blog.  The Sharpe Ratio and Sortino ratios are the best for the 66 DTE, 12, 16 and 20 delta variations.


The next image shows the summary statistics for the SPX delta neutral IC version for all of the DTE, and all of the short strike deltas shown on this blog.  The Sharpe Ratio and Sortino ratios are the best for the 80 DTE, 8 delta variation, and the 52 DTE, 8 and 12 delta variations.


The details associated with the prior two images can be found at the links below:
In the next post I will compare the summary statistics for the three versions of the RUT "no touch" IC trades (standard, delta neutral, and extra long put).  We will see how the initial structure of the IC impacts the summary statistics.

If you don't want to miss my new blog posts, follow my blog either by email or by RSS feed.  Both options are free, and are available on the top of the right hand navigation column under the headings "Follow By Email" and "Subscribe To RSS Feed".  I follow blogs by RSS using Feedly, but any RSS reader will work.

No comments:

Post a Comment