Market Measures - July 12, 2021 - Statistics Around Strike Breaches

published 2 weeks ago by tastytrade, Inc.

The probability of seeing a strike breach (either put or call) by the 21 DTE mark for a 30∆ strangle is three times higher than a breach of a 16∆ strangle. Even though 30∆ strangles are more likely to be breached, the average breach does not affect the POP of a 30∆ strangle as much as it did the POP of a 16∆ strangle, presumably due to the higher credits collected from 30∆ strangles which soften the blow of a breach.

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