Aug. 16, 2016

Options Backtesting Results

Historical average return: +$291.47 (backtested over 6.6 years)
Historical success probability: 94.6%

Summary

With implied volatilities across most major stock indices at their lows over the past year, mid cap stocks remain one of the last bastions where options sellers are receiving healthier premiums. A put options backtest on mid-cap ETF MDY shows 94% probability of success with implied volatility in the 21st percentile over the past six years.

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