Market Volatility 공개
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IV is extremely efficient in terms of overstating the frequency in which implied moves will be larger than actual moves...regardless of the underlying IV, implied moves overstated actual moves more than the theoretical 68% of the time. IV is also efficient in terms of the magnitude of the difference between implied moves and actual moves...regardle…
 
Capital allocation is the most important tool traders have in their toolbox during a market correction. A conservative portfolio managed mechanically the tastytrade way lost 16% from high to low during the 2020 selloff (rolling not included), around half of S&P 500 losses. A more aggressive portfolio would be estimated to lose around 2-3x more, aro…
 
Capital allocation is the most important tool traders have in their toolbox during a market correction. A conservative portfolio managed mechanically the tastytrade way lost 16% from high to low during the 2020 selloff (rolling not included), around half of S&P 500 losses. A more aggressive portfolio would be estimated to lose around 2-3x more, aro…
 
We have analyzed turnaround probabilities for different types of strangles, but not for any undefined risk strategies. How likely is it for an iron condor to have a P/L flip after incurring a certain amount of loss? How should loss thresholds for defined risk trades differ from undefined risk trades? Join Tom, Tony and Julia as they discuss turnaro…
 
We have analyzed turnaround probabilities for different types of strangles, but not for any undefined risk strategies. How likely is it for an iron condor to have a P/L flip after incurring a certain amount of loss? How should loss thresholds for defined risk trades differ from undefined risk trades? Join Tom, Tony and Julia as they discuss turnaro…
 
Today tastytrade discusses the performance of trading weekly options. Can they beat our go-to 45 DTE strategies?The weekly options become attractive due to their extremely high daily theta decay.On paper, weekly or even shorter duration options can provide superior potential daily return on capital than longer cycle ones. So what about their long-t…
 
Today tastytrade discusses the performance of trading weekly options. Can they beat our go-to 45 DTE strategies?The weekly options become attractive due to their extremely high daily theta decay.On paper, weekly or even shorter duration options can provide superior potential daily return on capital than longer cycle ones. So what about their long-t…
 
Theta and IV have a direct linear relationship, meaning that when one goes up by a certain percentage, the other also goes up by the same percentage. Additionally, the larger the delta of the strangle, the larger the theta of that strangle is. Watch Tom and Tony dive into this relationship with the help of some research driven graphics.…
 
Theta and IV have a direct linear relationship, meaning that when one goes up by a certain percentage, the other also goes up by the same percentage. Additionally, the larger the delta of the strangle, the larger the theta of that strangle is. Watch Tom and Tony dive into this relationship with the help of some research driven graphics.…
 
SPY option prices tend to change significantly when SPY has a large move, but the magnitude of response will differ depending on the current IV. At different VIX levels, how much do the credits for SPY strangles change in response to a large SPY up day/down day? Join Tom and Tony as they discuss changes in strangle initial credit due to large moves…
 
SPY option prices tend to change significantly when SPY has a large move, but the magnitude of response will differ depending on the current IV.At different VIX levels, how much do the credits for SPY strangles change in response to a large SPY up day/down day?Join Tom and Tony as they discuss changes in strangle initial credit due to large moves i…
 
Some traders wonder why can’t we manage the shorter duration strategy even earlier. For example, we close the 24-day options at 10 DTE? Can this strategy outperform our go-to 45-day options?tastytrade discusses the effectiveness of managing shorter duration options even earlier.
 
Following a period of VIX expansion or lull, we can adjust our IVR threshold higher or lower since the dynamic of IVR is slightly different. In this segment, the Research Team tests the actual performance of selling strangles with the adjusted IVR thresholds. We find that the total P/L (average P/L x occurrences) for the year where we adjusted the …
 
Following a period of VIX expansion or lull, we can adjust our IVR threshold higher or lower since the dynamic of IVR is slightly different. In this segment, the Research Team tests the actual performance of selling strangles with the adjusted IVR thresholds. We find that the total P/L (average P/L x occurrences) for the year where we adjusted the …
 
For 45 DTE 16Δ short SPY strangles, the probability of turnaround drops to roughly 50% once the P/L has reached -50% the initial credit or lower. What is the turnaround probability for strangles with different types of underlyings after incurring the same amount of loss? Are contracts with more extreme P/L swings more or less likely to recover? Joi…
 
For 45 DTE 16Δ short SPY strangles, the probability of turnaround drops to roughly 50% once the P/L has reached -50% the initial credit or lower. What is the turnaround probability for strangles with different types of underlyings after incurring the same amount of loss? Are contracts with more extreme P/L swings more or less likely to recover? Joi…
 
On average since 2005, long stock outperformed short strangles in very low IV environments. In higher IV environments, short strangles outperformed long stock, while the volatility of both strategies was comparable. Finally, there was no IV environment where short strangles had a negative return, while long stock is almost certainly going to lose i…
 
On average since 2005, long stock outperformed short strangles in very low IV environments. In higher IV environments, short strangles outperformed long stock, while the volatility of both strategies was comparable. Finally, there was no IV environment where short strangles had a negative return, while long stock is almost certainly going to lose i…
 
We typically manage short premium positions early to reduce exposure to outlier losses and free capital for adding new positions. However, if we were to hold contracts to expiration, what kind of IVR environment is optimal? Join Tom and Tony as they discuss some statistics around holding a short strangle expiration.…
 
We typically manage short premium positions early to reduce exposure to outlier losses and free capital for adding new positions. However, if we were to hold contracts to expiration, what kind of IVR environment is optimal?Join Tom and Tony as they discuss some statistics around holding a short strangle expiration.…
 
Theoretically, shorter duration options can provide a better return on capital. Many traders are attracted to this and start to trade short-duration positions. If shorter duration strategies can provide a better return, why do we even need to manage longer-duration positions early? tastytrade discusses the performances between using 21-day options …
 
Theoretically, shorter duration options can provide a better return on capital. Many traders are attracted to this and start to trade short-duration positions. If shorter duration strategies can provide a better return, why do we even need to manage longer-duration positions early?tastytrade discusses the performances between using 21-day options o…
 
On average, when the market goes up, the VIX moves down, but with less magnitude than when the market moves down and VIX moves up.Since the probability of VIX and SPY moving inversely of each other is 80%, having short deltas on in our portfolio will serve to reduce portfolio volatility 80% of the time.…
 
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