End-of-month SPX Straddle Trade

July 2025 Update

Over last 4 months, NDX up a staggering ~45% from lows, SPX up ~33%. This has largely been driven by MSFT, META & NVDA almost doubling from April lows… Last few months were uneventful for the last 10 min trades, losing ~29bps & 18bps on straddles into the close. The last 2 hours straddles, however, have closed positive every single month so far this year.

Last month saw a bit of a break for the last 10 min straddles with vols dropping to barely 15 bps, which was about average for last 5 years.