Nov. 22, 2016

Options Backtesting Results

Historical average return: +$1,651.76 (backtested over 16.9 years)
Historical success probability: 70.5%

Summary

S&P Materials (XLB) implied volatility just hit its lowest point over the past year while every other major S&P sector remains above the 15th percentile. With the prospect of increased infrastructure spending on the horizon next year, XLB call volumes have risen considerably. Options backtesting for this particular XLB strategy shows positive historical returns at today's cheap pricing with further potential upside if infrastructure spending is realized.

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