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Market Measures

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Risk and Scaling 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.

Our past research has shown that it’s profitable to scale up the delta for SPY strangles in high IVR environments.

While this can be a highly profitable strategy in high IVR, this comes with the tradeoff of disproportionately higher risk.

Join Tom and Tony as they revisit this strategy of scaling delta in high IVR from the perspective of profitability and risk.

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