Short dated index option trading has grown tremendously over the past few years. Most trading occurs in options expiring on the current or following day. We have been tracking the price behavior and profitability of buying and selling at-the-money (ATM) straddles on the close the day before expiration and then hold those positions through the following day’s close and cash settlement.
This write up is an update on the performance of buying and selling 1-day ATM straddles on the Nasdaq-100® (NDX®). The time frame covers January 2023 through June 2026 or three and a half years. The results generally favor buying over selling, depending on market conditions.
Methods
Straddles were priced using options that expire the following trading day. The straddle is priced with the mid-point of the bid-ask spread using the closest strike price to where the market closed on the day using NDX options that are PM settled. NDX expiration on the third Friday of each month is at the market open (AM settlement), so those observations were excluded from the study. The exit value for the straddle is calculated using the closing price for NDX as these options are cash settled and no action is needed to exit the trade. No stop loss strategies were implemented so the straddle would be held through expiration.
We calculate a hypothetical profit or loss based on selling and buying the straddle. In each case slippage of 2.00 points, to account for commissions and execution relative to the mid-point of the straddle spread. The following is an example of how the data for selling and buying the straddle is determined.
For example, on April 30, 2026, NDX closed at 27,452.10, which resulted in the relevant strike price of 27,450. The midpoint of the bid-ask spread for the NDX May 1st 27450 Put was 97.30 and for the NDX May 1st 27450 Call the midpoint was 109.95. The result is a cost of 209.25 for a straddle buyer and 205.25 for a straddle seller.
Historical Pricing
An interesting aspect of 1-day ATM NDX straddles is the wide range of pricing, based on a percent of the underlying index. Figure 1 below shows the maximum, minimum, and average price for the ATM straddles by month.
Figure 1 – 1-Day NDX ATM Straddle Pricing by Month
Source: Bloomberg, Author Calculations
The ranges on this chart vary for a variety of both reactionary and anticipatory factors. A large move in NDX on one day often results in the following day’s straddle reflecting a larger potential price move. Conversely, a quiet day or two in a row often creates situation that results in lower NDX premiums. On the anticipatory side of influence, NDX straddles are often slightly elevated in front of major economic numbers, such as the monthly employment report, any inflation related numbers, and GDP. Finally, NDX straddles are often priced higher during earnings season when large NDX components are reporting their financial results.
Not the highest priced straddle occurred in April 2025, in response to the tariff announcements. There was a day in Aprill 2025 where the NDX 1-day straddle was pricing in a move of 3.71%, this translates to an annualized move of about 60%. Another reactionary month was March 2026, with the average straddle priced at 1.17% of the underlying market as the Iran war drug on for longer than many market participants expected.
Historical Results
The next two tables show the annual performance for selling or buying the ATM straddle and exiting on the following day’s close. A result that is surprising to many is how poor the results are for a consistent short strategy using 1-day options. Those results by year, with 2026 based on the first six months of 2026, appear in Table 1 below.
Table 1 – Annual Results for Short 1-Day NDX Straddles
Source: Bloomberg, Author Calculations
At this point, it may sound like a broken record, but it is worth mentioning that a common belief among traders is that over the long-term option sellers profit more than option buyers. This is anything but true with respect to 1-day NDX straddles. The only year that was close to profitable was 2023, which finished in the red based on the 2.00 cost of trading applied to each trade.
If selling did not work, then buying must have. This statement is not 100% true based on Table 2 which shows the results from buying NDX 1-day straddles.
Table 2 – Annual Results for Long 1-Day NDX Straddles
Source: Bloomberg, Author Calculations
The first thing that is likely noticed in Table 2 is that 2023 was a losing year for buying straddles. This performance is negative regardless of whether we use 2.00 for the cost of trading, but most of the losses are attributed to trading cost with the remaining of the average loss (1.53) the result of actual price behavior.
Both 2024 and 2025 were positive years for straddle buyers as well as for the first six months of 2026. Worth noting is that the biggest gains in 2025 and 2026 were greater than the annual profits. Missing the wrong day to put on your long straddle can take a positive year to a negative year very quickly.
2026 Results
The monthly results in 2026 are a contrast to what would be expected based on the previous two tables. Note on Table 3, which shows the results for consistently selling an ATM straddle by month.
Table 3 – 2026 Annual Results for Short 1-Day NDX Straddles
Source: Bloomberg, Author Calculations
The first four months of 2026 were profitable for straddle sellers which is the longest streak of profitable months. Starting in May and continuing through June, NDX outlier moves relative to option pricing were detrimental to straddle sellers. Most June losses came from the straddle that expired on June 5. The midpoint of the bid ask spread for that straddle was 0.80% or 242.60 points on the June 4 close. NDX lost 4.77% on June 5, or 1452.40 points, resulting in a loss of 1211.80. Table 4 shows the results in 2026 for long straddles and as expected those results are mostly the inverse of short results.
Source: Bloomberg, Author Calculations
The loss of 1211.80 for the June 5 straddle seller was a gain of 1207.80 for the straddle buyer that day. These slight differences are due to the cost of trading we incorporate into our back testing. Also, notice that May experienced a slight loss for buyers, reflecting the cost of trading more than outlier moves for NDX.
Conclusion
The analysis of 1-day ATM NDX straddle trading from January 2023 through June 2026 reveals several key insights that challenge conventional options trading wisdom. Most notably, the widely held belief that option sellers enjoy a systematic advantage over buyers does not hold true for short-dated NDX straddles.
The data demonstrates that consistently selling 1-day NDX ATM straddles has been largely unprofitable, with only 2023 approaching break-even before trading costs. This poor performance for sellers is primarily attributed to the frequency and magnitude of outlier moves in the NDX, which often exceed the premium collected from straddle sales. The volatile nature of short-dated options means that even a few significant market moves can quickly erode profits accumulated over many smaller winning trades.
Conversely, buying 1-day ATM straddles has generally proven more profitable, particularly in 2024, 2025, and the first half of 2026. However, this strategy is not without risk, as evidenced by the losses in 2023 and the high degree of variability in monthly results. The success of buying straddles is heavily dependent on capturing large market movements that exceed the premium paid, making timing and market conditions critical factors.
The 2026 results highlight the inherent volatility of this trading strategy, with dramatic swings between profitable and losing periods for both approaches. The June 5, 2026, example, where a single day resulted in losses exceeding 1,200 points for straddle sellers, underscores the outsized impact that individual outlier events can have on overall performance.
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