Managing straddles is a bit of a different game than strangles because it is a more aggressive strategy.
Therefore we like to manage straddles at a specific profit target that is more conservative than other strategies.
Study- Sold ATM straddles and managed them at:
- 25%, 50%, 75%, Expiration
- Compared results when IV Rank over/under 50%
- S&P 500 ETF (SPY) - 45 DTE options
- 2005 to present
We find that 25% of max profit as a management point has shown the best success rate and daily P/L out of all the other management points. This management point happens to be around 25-30 days to expiration.
