Market Volatility 公開
[search 0]
もっと

Download the App!

show episodes
 
Loading …
show series
 
On any given day and following a large contraction day, there’s roughly a 50/50 chance that the VIX returns will be positive or negative. However, What does the VIX returns distribution look like on the day following a large move? Join Tom and Tony as they discuss trading when IV has large moves.
 
Since selling premium has been profitable historically, the worst thing we can do is not trade often and not take advantage of favorable odds.In order to realize a stable win rate and P/L in an account, one must stay small and trade often.“Quality trades” are synonymous with “liquidity”, which in today’s markets is easier than ever to come by.…
 
When traders have more capital to utilize, they also have more choices to initiate options positions. So if we want to scale up in trading Iron Condors, should we consider widening the width of wings first or increasing the number of contracts first? tastytrade conducts a study to determine the best approach to increasing trade size and exposure.…
 
When implied volatility expands above its mean, it eventually mean reverts and contracts.On average, it takes roughly two to three 45-day cycles for IV to contract 20%.The higher the implied volatility spikes to, the faster it contacts if measuring by the same percentage.
 
Typically we manage 45 DTE short premium positions at 21 DTE or half max profit (half the initial credit received from opening the trade). However, if we hit the half max profit prior to 21 DTE, is it worth it to hold out to 21 DTE? Join Tom and Tony as they discuss whether holding out to 21 DTE can be more profitable than managing a trade at half …
 
Traditional diversification involves buying stocks in different sectors to reduce individual company risk. Doing so results in a portfolio that mimics the volatility of the S&P 500.However, by utilizing options in the S&P 500 coupled with options in non-correlated assets can provide an additional 56% reduction in portfolio volatility compared to ju…
 
Trades placed after a VIX “pop” experience larger average P/L. Staying small and conserving capital when VIX is low allows us to trade these opportunities when they arise.But don’t completely sit on your hands...even in all IV environments, SPY strangles show a positive average P/L.
 
Short premium positions generally profit from contractions in IV, but these strategies are also subject to underlying directional risk. How do strangles perform when their underlying has a substantial upday and their IV has a large contraction? Join Tom and Tony as they show how outlier updays can result in substantial losses and why it’s essential…
 
On average, higher Implied Volatility does lead to higher P/L in short premium strategies on average.More importantly, selling premium in low IV environments experience most of the outlier losses, making the case to stay small when IV is low, and increase size when IV is high.
 
Our past research has shown that the probability of incurring a large loss tends to decrease with IVR for 16Δ SPY strangles. But how does this probability scale with strangle delta in high IVR? Join Tom and Tony as they discuss how likely it is for different delta strangles to incur large losses in high IVR.…
 
Loading …

クイックリファレンスガイド

Google login Twitter login Classic login