A common strategy is to sell 1(SD) in underlyings with high . Especially the stock index ETFs.
A study was conducted that sold 1 SD Strangles in SPY, IWM and QQQ every Monday from 2005 to present. The Strangles were scaled to represent $3,000 in buying power. A table of the results of the 489 trades per underlying was displayed. The table included the percentage profitable atand the P/L when . We then modified the strategy by entering only the ETF with the highest IVR on each trade date.
The results showed that when selling strangles in the ETF with the highestand IV rank, the profitability and probabilities of the strategies increased significantly.
Watch this segment of Market Measures with Tom Sosnoff and Tony Battista for the valuable takeaways and the dramatic study results comparing short 1 SD strangles in SPY, QQQ and IWM.