Calling All Fans!

We're letting tastynation call the shots! Give us your trade idea or let us solve your problems.


Market Measures

Monday – Friday | 9:00 – 9:20a CT

Scaling Deltas in High IVR 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.

Usually we default to trading 16 delta strangles in most environments, but what if we moved our deltas closer to the money when IV Rank was high?

  • SPY
  • 2005 - 2018, 45 DTE
  • Compared selling:
    • 10, 20, 30 delta strangles when IVR > 50
    • 10, 20, 30 delta strangles when IVR < 50
  • Recorded daily P/L

We find that when IVR is high, we are better off P/L wise to scale our deltas closer to the money. When IVR is low, P/Ls tend to stay relatively the same for all deltas. Additionally, managing early improved all performance for all deltas and IVR levels across the board.

Market Measures More installments

See All »

Latest tastytrade Videos As of August 23

Most Shared From the last 30 days