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research · Apr 6, 2026 · 12 min read

Theta Decay Explained: What Your Options P&L Actually Looks Like

We ran two short volatility trades over the past couple of months. One in TLT, one in EWY. Both had positive theta decay every single day. Both had a positive variance risk premium at entry. One was a clean win where theta was the entire P&L. The other

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Featured Research Markets Engineering
research · Dec 6, 2023

Is there a better day to sell 0DTE in SPY?

What to find - a seasonality analysis on 0DTE ATM straddles in SPY and an improved strategy in 0DTE with a Sharpe>1. 0 DTE (for 0 day-to-expiration) contracts

5 min read
research · Nov 29, 2023

Delta hedging is expensive, do this instead.

What to find - why we accept the risk of not delta hedging our position and what we do instead with a straightforward, actionable trade as an example. The fact

6 min read
research · Nov 25, 2023

No, selling option is not a guarantee of income

Risk premia is the price the market is ready to pay for a well-understood and identified phenomenon and the set of risks that come with it. A great example is

5 min read
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