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Strangle Correlation and IVR

Options Jive

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Over the past 9 years, SPY & QQQ returns have been highly correlated.

The P/Ls of early-managed 16Δ strangles on those instruments, while less correlated than their underlyings, have also been highly correlated.

What is the relationship between these strangles at different IVRs?

Join Tom and Tony today as they look at strangle correlation in different IVR environments.

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