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Market Measures

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The Impact of Volatility on P/L

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.

Nothing is free. This applies to everything in trading including selling premium in High IV environments. What is the cost to selling premium in various IV environments?

Study:

  • Sold 1 Standard Deviation Strangles in SPY, 45 DTE, Since 2005

  • Held to Expiration

  • Segregated by IVR levels

  • Recorded average P/L, success rate, standard deviation of P/L

Ultimately, the tastytrade Research Department found that as we sell in higher IVR, we earn higher P/L, however, we also experience greater swings in our portfolio.

Tune in for all the details and takeaways!

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