A simple Feb 25 SPX credit spread (6025/6030) with delta .46 returns $3,450 if the lower strike is not reached and loses $1,550 if it is.
https://optionstrat.com/K1WFFMbQEYLO
The expected value of this trade is much greater than zero. The win rate isn’t identical to delta but for this analysis it seems adequate. Assuming a roughly 50% win rate, the expected value is .5 x 3450 - .5 x 1550 =950.
Repeating this trade with the same delta (shifting the strikes depending on where SPX is at the start of the trade) should return an average of $950 per trade.
This analysis can’t be correct. What am I missing?
