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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: tastylive.com 📰 Get Tom's pre-market analysis every morning: tastylive.com/newsletters 📘 FREE Options Strategy Guide: tinyurl.com/bp9ms763 📱 Follow tastylive on X: 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 t...
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