Market Measures

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Outlier Rank and Delta

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.

We have recently been testing whether “Outlier Rank” (OR) is an effective way to estimate exposure to outlier risk at a given IV level.

Our research has shown that trading 16Δ SPY strangles with low OR and high IVR increases average P/L and decreases P/L volatility; however, what about strangles with different deltas?

Today we show whether supplementing high IVR with low OR can improve profitability and reduce volatility for SPY strangles of different deltas.

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