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Occurrences of High IVR and Losses on Iron Flies

Know Your Options

James joins Liz and Jenny for a Wednesday edition of Know Your Options: Best of the Research Team.

They discuss the clustering of IVR occurrences as well as loss expectations on Iron Flies.

The first half looks at IVR occurrences by month from 2010 - present. The results are what we would expect regarding many ETFs exhibiting high IVR at the same time.

They shift gears to look at losses on Iron Fly trades with varying widths. The results prove very similar to those of the Iron Condor results which they discussed last week.

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