Market Measures

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Testing IVR Skew

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.

Following a period of VIX expansion or lull, we can adjust our IVR threshold higher or lower since the dynamic of IVR is slightly different.

In this segment, the Research Team tests the actual performance of selling strangles with the adjusted IVR thresholds.

We find that the total P/L (average P/L x occurrences) for the year where we adjusted the IVR threshold was higher than if we had just sold when IVR was above 30.

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