How do outliers affect short premium positions during and at the end of the trade?

Study:

• SPY, 2005 to present
• 45 DTE
• Sold 30∆ Strangles (short 30∆ put and short 30∆ call) the day before an outlier move (+- 3, 4, and 5%)
• Held to expiration in order to study the entire 45 day period
• Observed the effects of the outlier move on the strangle P/L

Results

We find that initially, our positions take a hit due to the outlier move, but at the end of the trade, our positions were profitable on average.