Market Measures

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Outlier Rank and Large P/L Probabilities

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.

Our studies have shown that supplementing IVR with Outlier Rank (OR) increases average P/L and decreases P/L volatility for SPY strangles; however, is this increase in P/L the result of OR limiting tail risk?

Today Tom and Tony discuss whether using Outlier Rank changes the probability of large profits or losses when trading SPY strangles.

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