End-of-month SPX Straddle Trade

May 2025 Update

Wrapping up May with the EoM SPX straddles. Performance this year has been mixed, net up ~20 bps with one of the larger wins in 10 years at the end of Feb. Below are the updated stats on the trade:

Last few months straddles weren’t cheap into eom, almost see stable trend higher last few years (apart from the Nov24 sub 10bps straddle…)

Since 2016, ~53.5% win rate with an avg ~5bps positive return on the straddles.

Net SPX underlying returns have actually been net flat since 2022 for the last 10 mins.

2PM-Close EoM Option Structures