EoM Straddle Trade
Update October 2024
Update from last posts:
EoM straddle cost has been rising steadily since May 2024. Ytd pnl sitting at highs after Sep eom straddle paid ~6pts.
Only few data points but low implied move straddles main pnl driver, the more expensive straddles ~ fair.
No particular pattern between MtD SPY % return and last 10 min directional performance as mentioned in previous post:
Breaking down by day of week close:
Friday & Monday leading, but they have more data points (expirations pre 2022 do not include Tue/Thu.)