The 84% Win Rate Strangle That Still Lost Money This Year

A short strangle that wins 84% of the time sounds like a dream, so why did it lose money in 2026? This Market Measures digs into the hidden tail risk of low-delta strangles, based on a sharp study from a trader on X. Testing 45 DTE strangles from a tight 40 delta out to a very wide 5 delta, opened every day from 2020 to 2026, the win rate climbs exactly as you would expect, from 67% at 40 delta to 84% at 5 delta. But the credits shrink too. 📊 tastylive: https://www.tastylive.com/ 📰 Get Tom's pre-market analysis every morning: https://www.tastylive.com/newsletters 📘 FREE Options Strategy Guide: https://tinyurl.com/bp9ms763 📱 Follow tastylive on X: https://x.com/tastyliveshow Chapters 00:00 The hidden tail risk of low-delta strangles 00:35 The study setup, 40 delta to 5 delta 01:59 Win rate climbs from 67% to 84% 02:11 But the worst loss balloons 03:00 Per dollar of credit, it's an illusion 04:10 Pennies in front of a steamroller 05:12 One melt-up flips the year red 06:38 Holding the credit constant 07:30 Stacking contracts stacks the risk 08:30 The takeaways #tastylive #marketmeasures #strangles #tailrisk #winrate #positionsizing #premiumselling #optionsstrategy #optionstrading #stockmarket tastylive is a real financial network, producing hours of live programming every day. Follow along as our experts navigate the markets, provide actionable trading insights, and teach you how to trade. With over 120 original segments, and over 25 personalities, we'll help you take your trading to the next level, whether you are new to trading or a seasoned veteran. tastylive content is created, produced, and provided solely by tastylive, Inc. ("tastylive") and is for informational and educational purposes only. It is not, nor is it intended to be, trading or investment advice or a recommendation that any security, futures contract, digital asset, other product, transaction, or investment strategy is suitable for any person. Trading securities, futures products, and digital assets involve risk and may result in a loss greater than the original amount invested. Investment information provided may not be appropriate for all investors and is provided without respect to individual investor financial sophistication, financial situation, investing time horizon or risk tolerance. Options, futures, and futures options are not suitable for all investors. Prior to trading securities, options, futures, or futures options, please read all applicable risk disclosures, including, but not limited to, the Characteristics and Risks of Standardized Options Disclosure and the Futures and Exchange Traded Options Risk Disclosure Statement found at https://tastytrade.com/disclosures/. Past performance is not indicative of future results. Performance is not presented net of all commissions, fees, and expenses. Multi-leg option strategies incur higher transaction costs than single leg trades as they involve multiple commission charges. Examples provided are for illustrative, informational, and educational purposes only and are not intended to be reflective of results you can expect to achieve. Supporting documentation for any claims, including claims made on behalf of options programs), comparisons, statistics, or other technical data, if applicable, will be supplied upon request. tastylive, through its content, financial programming or otherwise, does not provide investment or financial advice or make investment recommendations. tastylive is not a licensed financial adviser, registered investment adviser, or a registered broker-dealer.