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You could flip every Tasty Trade study over on it's head an make the reverse trade and probably profit. Except you would never want to do anything that has open ended risk...like a naked short strangle, which they think is just fine! And they have the studies to "prove" it!

@Crazy ayzo There are 2 main factors that figure into how quickly gamma grows: The IV of the options, the higher the IV the slower gamma grows. This is why higher-IV stocks are not the best hedged straddle candidates because the straddle doesn't have a significant gains when the stock moves beyond your short strikes. The time to expiration. The closer you are to expiration the higher the gamma (but also much higher negative theta). Cannabis stocks typically trade at very high IV - CGC around 90% and TLRY around 120%. This means gamma grows quite slowly as the stock price moves, which is obviously not the best scenario for straddles. In your case, however, by using options expiring in less than 3 days the gamma grew quicker because of the very short time to expiration so you got a decent gain when the stock price dropped (the negative here is that if you didn't get the stock price movement then negative theta would quickly lower the price of your straddle). If you use a straddle on a very high IV stock with a longer time to expiration, realize that gamma gains will grow slowly and the trade probably stands to gain more due to further IV increase than due to stock price movement - unless that stock price movement is quite large.

Great work but,I was just looking at a bunch of the straddles and , other than the 3 day expirations, they are not too liquid. The expiry you chose had decent liquidity plus, it is really going to work, or not, because you have all of the gamma , and liquidity on your side. If you tried this with a 2 + week expiry, the same amount of movement probably would not have created a profit because there isn't enough gamma

L O L

Could you flip the Tasty Trade backtest around and instead SELL a straddle every Thursday with 1 DTE? Seems like that would produce an average profit of $19-$20 less commission?