Brand new research!
We know that we collect more theta in periods of high IV almost double at times. In the piece today the guys dig deeper and see how much P/L, on average we keep as a percent of our expected daily move.
Currently, the theta on a 16∆ strangle in SPY in the December cycle is $7 per day.
This means that theoretically, all other variables equal, the strangle will get $0.07 cheaper by tomorrow, thus yielding a profit to option sellers of $0.07 x 100 = $7.00.
So, what percent of that $7 do we actually see in our daily P/L historically?
Tune in to find out!