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Selling volatility on the S&P500

S&P 500 Index (FX:SPX500)  
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FX:SPX500   S&P 500 Index
strangle S&P 500 (SPX500) neutral Volatility
1
0
strangle spx500 neutral volatility
-1 Call at 2090
-1 Put at 2010

Backtest probability: 83.5%
Sharpe Ratio: 0.82 (2 years of backtest)
Trade closed: stop reached

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