Market Measures

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How IV Impacts Credit pt. 2

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.

This Market Measures looks at how much a move in implied volatility (IV) impacts the credit we receive for a variety of short premium trades.

The study uses the statistical method of regression to estimate the relationship between IV and credit received for different delta strangles.

After performing regression on the data, we have estimates for the change in credit for a variety of delta strangles. This allows us to better understand how much a certain delta strangle will be worth given a VIX value and the underlying price.

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