One of the common beliefs in the option industry is that over a long period of time option sellers will profit. They will hit some speed bumps along the way, but option prices are expected to overprice subsequent price moves often.
With the introduction of daily expirations, option sellers believed they found a market where they could benefit from selling options more than once a week, something that was once a month about a decade ago. However, in the NDX arena, since 2024 option buyers have been profiting from the difference between the price of the ATM straddle on the close the day before expiration and expiration. The following three tables show the results from buying the NDX 1-day ATM straddle on the close the day before and holding through expiration the following day.
The method for this study involves taking the mid-point of the bid-ask spread on the close the day before expiration for both the ATM put and call. Two points are added to that figure to account for buying above the midpoint and commissions. We have found this is a reasonable figure to use for trading costs.
Table 1: Long NDX 1-Day ATM Straddle Performance by Month 2023
Data Sources: Barchart & Author Calculations
2023 was a decent year for NDX straddle sellers with profits coming in just above 850 points. However, the final quarter of 2024 had three winning months in a row, and this appears to be a signal as to how 2024 would work out for straddle buyers.
Table 2: Long NDX 1-Day ATM Straddle Performance by Month 2024
Data Sources: Barchart & Author Calculations
2024 was a strong year for NDX straddle sellers realizing profits of over 2500 points. The worst period was two months (May and June) where total losses came in at 705 points. There were two months when profits topped 1000 points (July and December). On the final table we see how buying ATM straddles worked in the first three months of 2025.
Table 3: Long NDX 1-Day ATM Straddle Performance by Month First Three Months 2025
Data Sources: Barchart & Author Calculations
The first two months in 2025 saw slight losses for buyers of ATM straddles. March came along, and despite having the worst day of the year for staddle buyers (loss of 283.36), the month turned out profitable. March was profitable enough to push the year-to-date profits into the green.
