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Vary IV Rank Time Spans

Market Measures

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At tastytrade we default to IV Rank with a one year time span, but what happens if we change that time span? Our research team ran a study to see if there was any significance to our trade entry when changing our IV Rank frame.

The Study
  • SPY 2006-Present
  • IVR > 50
  • Straddles managed at 25%
  • Compare IVR time spans:
    • 2 Years
    • 1 Year
    • 6 Months
    • 3 Months
The Results
  • Average P/L is highest for 1 year time span
  • Win ratio is almost the same for all time spans

This study shows that defaulting to the 1 year time span IVR is the most efficient. Tune in as Tom and Tony interpret the results on a deeper level!

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