One of the options trading strategies that is central to the tastytrade method is theStrangle, or the 16 delta Strangle. We like to sell these options when they are expensive relative to their historical prices. We gauge that expensiveness by .
This strategy begins with no delta bias built in. However, we have noticed that the market tends to display expensive options when the price of the underlying has sold off.
Today’s Market Measures segment tackles the question of whether or not we should initiate high implied volatility trades with a bullish bias in mind.The Study
- Russell 2000 (IWM), 2005 to present
- 45 DTE options
- Compared neutral to bullish
- All trades
We saw little change in the bullish Strangles in IWM compared to the neutral ones that we tend to default to. Check out the full results in the segment above.