Revisiting EOM 10 minute straddles
Closer look
Last months summary:
After a couple of big wins last few months, (~ 24 & 15pts for April & May with 6 & 7 pts of risk respectively) lets take a closer look at what the last 10 minute behavior looks like and if we can figure some trades out.
So far, the eom trade back to new ATH’s, holding till close produces best pnl’s…
Going long the ATM straddle at 3:55pm looks decent assuming slightly worse off mid avg price at 3:55pm, but the bid/ask range gets very wild towards the close…
The avg spread been improving quite a bit from 2023, getting filled at the worst possible ask at 3:55pm STILL not killing you last 6 months…
Will look into this more…
Getting filled at worst possible ask at 15:49pm:
