[Updated] SPX Index Straddles
Performance comparison of delta hedging methods (2016 - July 2025)
Note: Corrected original post from August, had wrong scaling for overnight performance which skewed results
Short post on performance comparison between different delta hedging methods for short 1-DTE SPX Straddles. Only expirations with 1 trading day selected (+ weekends.) Data between 2016 & first week of July 2025.
Overview
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