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Market Measures

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Intersection of Value and Opportunity

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.

Generally we like to scale up our capital and sell premium in periods of high implied volatility.

But how often do we exhibit high IV?

  • Calculated Implied Volatility Rank for as far back as CBOE provides IV Index data to see how often we see certain levels of options prices

  • S&P 500, Apple, Bonds, Gold, Crude Oil VIX, VXAPL, TYVIX, GVZ, OVX

We get compensated when IV Rank is higher but unfortunately we get above 50% only 16% of the time. IVRs over 90% are similarly rare in all markets, though higher IVR levels in single stocks and crude oil are more common.

However, even when IVR is on the lower side, average P/L is still positive for 16 delta strangles. If we wait for the most expensive options, then we will trade very seldom and give up in profits in the meantime.

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