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Does Selling Premium Actually Work Better During the Holidays?

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ticker lesson

Breakdown

0:00lesson

Testing short premium performance during holidays

  • Testing short premium effectiveness during holidays
  • Breaking down market differences during holiday periods
  • Focusing on risk-to-reward ratio and volatility behavior
1:34lesson

Analyzing SPY strangles during holiday seasons

  • Using SPY strangles with 16 delta 45d
  • Analyzing data from 2021 to September 2026
  • Focusing on November 1st to January 15th as holiday window
3:15lesson

Holiday season market behavior and volatility

  • SPY tends to rise 4.5% in 10 weeks during holidays
  • 2023-2024 saw 13% rally during holiday season
  • Volatility rank is 30+ on 16% of holiday days
5:06lesson

High IV rank and holiday season performance

  • Holiday trades win 88% of the time with 2.9% return
  • Higher IV rank correlates with better performance
  • Historically, elevated IV is rare during holidays
7:00lesson

Holiday season tail risk and market cyclicality

  • Holiday season typically has lower tail risk
  • Market is different every year, day by day
  • Cyclicality affects short premium strategies
8:50lesson

Holiday season as a probability tilt

  • November to January historically stronger for premiums
  • Higher IV rank setups average 2.9% return
  • Using seasonality as supporting factor, not guarantee

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