If you’re in the space of running backtests on Silver Options these pointers might be handy, we were looking for a set of criteria that delivers a reasonable positive return on Selling Silver Straddles over 5 years.
The criteria we used to get a positive return:
- Silver Implied Vol > 16% – avoids selling the straddles too cheap
- Silver 1.5 Fence Implied Vol difference > 2.1% – a higher skew seems to help
- Gold Implied Vol < 13% – Silver Vol not following Gold Vol helps
- Setting a 0.71 Stop
Backtesting this criteria shows a return of 0.179 per trade over the 5 years.
