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Market Measures - February 25, 2021 - Theta's Predictability and Deltas

The tastylive network

English - February 25, 2021 15:26 - 11 minutes - 10.4 MB Video - ★★★★★ - 173 ratings
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We have studied that, unlike the theoretical model’s prediction, the 1SD Strangle’s realized daily P/L is more random.


The relationship between Theta and daily P/L tends to be broken in the second half of the cycle. 


But does this finding hold true to other Strangles with various deltas?


tastytrade discusses the relationship between Theta and realized Daily P/L across multiple strangles.