Market Measures - October 28, 2025 - Holiday Euphoria: What Really Happens?
Update: 2025-10-28
Description
Recent data reveals the November to January trading period delivers better returns and higher win rates than the rest of the year, according to a tastylive Market Measure segment focused on "holiday euphoria."
The five-year study of S&P 500 ETF (SPY) examined 16-delta strangles across different volatility environments, finding win rates improved across all scenarios during the holiday window, with particularly strong performance during high implied volatility periods.
Risk metrics showed conditional value at risk decreased approximately 62% during the November-January window compared to non-holiday periods. While these patterns reflect recent market behavior with fewer sell-offs occurring during holiday periods, traders should view this as a probability tilt rather than a guarantee.
The analysis reinforces the importance of trade management, appropriate position sizing, and seeking high implied volatility opportunities regardless of season.
The five-year study of S&P 500 ETF (SPY) examined 16-delta strangles across different volatility environments, finding win rates improved across all scenarios during the holiday window, with particularly strong performance during high implied volatility periods.
Risk metrics showed conditional value at risk decreased approximately 62% during the November-January window compared to non-holiday periods. While these patterns reflect recent market behavior with fewer sell-offs occurring during holiday periods, traders should view this as a probability tilt rather than a guarantee.
The analysis reinforces the importance of trade management, appropriate position sizing, and seeking high implied volatility opportunities regardless of season.
Comments
In Channel
Download from Google Play
Download from App Store
United States00:00
00:00
x
