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Scaling Up in High IVR?

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.

High IV Rank environments are often few and far between. With that in mind, is it a good idea to scale up when we finally experience rich option premium? Tune in to hear Tom and Tony breakdown the results!

We often carry core positions in various underlyings regardless of IVR. But when High IVR does come around, should we be scaling up in these positions to take advantage of it?

When looking at IVR environments, we often break it down into:

  • high (IVR > 50),
  • moderate (25 < IVR < 50)
  • low (IVR < 25)

The Research Team analyzed this approach in AAPL, SPY and GLD using the following setup:

  • selling 1 Strangle consistently in low IVR
  • selling 2 Strangles in moderate IVR
  • selling 3 Strangles in high IVR

How did this method work in these underlyings in terms of win rate, profitability and max loss? Tune in to hear Tom and Tony run through the details of this study!

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