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.