Market Measures

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Two-Sided Implied Volatility

Market Measures

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Tom and Tony discuss if international markets provide opportunity when domestic markets are in a lull. How much opportunity do they provide?

Study
  • Compared selling 1 Standard Deviation (16 delta) Strangles in EEM / EWZ when IV Rank was over 50% via VXEEM / VXEWZ

  • Managed all trades at 50% of credit received

  • 45 DTE options

  • 2011 to Present

Results

We find that there is opportunity in emerging markets like EEM and EWZ when SPY might have Low IVR. These markets tend to have more periods when IVR is over 50 and thus present equally viable trading opportunities as SPY.

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