Market Measures

Monday – Friday | 9:00 – 9:20a CT

Best Of 2016: Low IV Strategies

Market Measures

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

On the flip side of yesterday's list, Tom & Tony review 3 of our top Market Measures segments on Low IV strategies.

“Russell Index: Put Calendar Spreads" on 8/12/16

"S&P 500 Index: Put Calendar Spreads" on 9/12/16

Our studies on Put Calendar Spreads in the SPX (S&P 500 Index) and RUT (Russell 2000 Index) both used data from 2005 to the present. When Implied Volatility Rank (IVR) was below 25, we simulated purchasing a Put Calendar by buying the 40 Delta Put with 60 days to expiration (DTE) and selling the same strike Put with 30 DTE. We then compared varying management levels. The study revealed that managing winners at 10% of the debit paid had the highest success rate and the lowest duration in the trade. The RUT also saw the highest average profit at the 10% rate while it was close for the SPX.

"Selling Premium in Low IV" on 4/15/16

Our study on lower Implied Volatility (IV) levels compared selling the 1 Standard Deviation (SD) Strangles in SPY using data from 2005 to the present. We compared selling Strangles when the VIX was above 25 and held through expiration to selling Strangles in all market environments and managing them at 50% of max profit if possible. The study showed that trading in all markets with management yielded higher daily P/L and Return on Capital (ROC) than selling in high IV markets with no management. Low IV doesn’t provide the same opportunity as high IV but it can still be profitable if we stay engaged and stay small.

Watch this segment of Market Measures with Tom Sosnoff and Tony Battista for an important recap of three of the best 2016 Market Measure segments on trading in a low IV environment.

Market Measures More installments

See All »

Latest tastytrade Videos As of April 24

Most Shared From the last 30 days