This OJ examining SPY strangles from 2013 to present reveals the paradox of high-probability trades. While lower delta options (10 delta and below) offer win rates up to 84%, they come with significant hidden risks that traders often overlook.

The key finding: extremely low delta trades (5 delta, 2 delta) can experience buying power expansion up to 3.4x during market stress versus just 2x for 50 delta positions. This margin expansion risk has bankrupted even successful traders during events like the 1987 crash.

Research suggests the optimal strike range is between 16-30 delta, balancing probability of profit with manageable risk. Higher delta strategies yield better P&L per contract but with greater volatility, while lower delta trades offer steadier P&L but catastrophic tail risk.