Market Measures Podcast
https://www.tastytrade.com
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℗ & © 2011 tastytrade, Inc.
The tastytrade network teaches investors innovative, simple ways to trade stocks, options, and futures, take advantage of market volatility and build a successful portfolio. Tom Sosnoff leads an irreverent and playful band of floor traders who are show...
tastytrade, Inc.
It's not always easy to take the measure of a market, whether you've been trading for a day or a decade. On this segment we look under the hood—options probabilities, volatility, trading strategies, futures, you name it—so your trading mechanics are built to manage more winners.
It's not always easy to take the measure of a market, whether you've been trading for a day or a decade. On this segment we look under the hood—options probabilities, volatility, trading strategies, futures, you name it—so your trading mechanics are built to manage more winners.
tastytrade, Inc.
support@tastytrade.com

tastytrade LIVE  November 30, 2020  CVaR vs Standard Deviation
Both standard deviation and conditional value at risk give probabilistic estimates for the expected loss of a portfolio/position.
Standard deviations are best used to calculate tail loss for normally distributed data sets, whereas CVaR is best used ...
Both standard deviation and conditional value at risk give probabilistic estimates for the expected loss of a portfolio/position.
Standard deviations are best used to calculate tail loss for normally distributed data sets, whereas CVaR is best used when your data set is skewed (like short option P/Ls).
http://feeds.tastytrade.com/media/138419/TTL_MM_201130_POD.mp3
Mon, 30 Nov 2020 07:41:00 0600
629.397
standard deviation, risk assessment

tastytrade LIVE  November 30, 2020  CVaR vs Standard Deviation
Both standard deviation and conditional value at risk give probabilistic estimates for the expected loss of a portfolio/position.
Standard deviations are best used to calculate tail loss for normally distributed data sets, whereas CVaR is best used ...
Both standard deviation and conditional value at risk give probabilistic estimates for the expected loss of a portfolio/position.
Standard deviations are best used to calculate tail loss for normally distributed data sets, whereas CVaR is best used when your data set is skewed (like short option P/Ls).
http://feeds.tastytrade.com/media/138418/TTL_MM_201130_SEG_EDIT.mp4
Mon, 30 Nov 2020 07:41:00 0600
578.688
standard deviation, risk assessment

tastytrade LIVE  November 25, 2020  The Rate of a Product’s Correlation
When trying to diversify equities, the best bet may be to look beyond the equity space into assets like gold, oil, and bonds, since those tend to maintain non or inverse correlation to equities.
In selloffs, expect stocks to be more positively corre...
When trying to diversify equities, the best bet may be to look beyond the equity space into assets like gold, oil, and bonds, since those tend to maintain non or inverse correlation to equities.
In selloffs, expect stocks to be more positively correlated to the market, whereas other assets will become more inversely correlated.
http://feeds.tastytrade.com/media/138398/TTL_MM_201125_SEG_EDIT.mp4
Wed, 25 Nov 2020 07:30:00 0600
466.581
correlation, selloff,

tastytrade LIVE  November 25, 2020  The Rate of a Product’s Correlation
When trying to diversify equities, the best bet may be to look beyond the equity space into assets like gold, oil, and bonds, since those tend to maintain non or inverse correlation to equities.
In selloffs, expect stocks to be more positively corre...
When trying to diversify equities, the best bet may be to look beyond the equity space into assets like gold, oil, and bonds, since those tend to maintain non or inverse correlation to equities.
In selloffs, expect stocks to be more positively correlated to the market, whereas other assets will become more inversely correlated.
http://feeds.tastytrade.com/media/138400/TTL_MM_201125_POD.mp3
Wed, 25 Nov 2020 07:30:00 0600
517.269
correlation, selloff,

Market Measures  November 24, 2020  CVaR For Different Strangles
In last week’s Skinny on Quantitative Finance, we introduced [Conditional Value at Risk (CVaR)](https://ontt.tv/35NMSY1).
This metric can be used as an estimate for the expected loss of a portfolio/position at a given likelihood level and can be u...
In last week’s Skinny on Quantitative Finance, we introduced [Conditional Value at Risk (CVaR)](https://ontt.tv/35NMSY1).
This metric can be used as an estimate for the expected loss of a portfolio/position at a given likelihood level and can be used to model losses in extreme cases.
Join Tom and Tony as they look at some CVaR calculations for different types of earlymanaged SPY strangles.
http://feeds.tastytrade.com/media/138369/TTL_MM_201124_POD.mp3
Tue, 24 Nov 2020 07:19:00 0600
834.752

Market Measures  November 24, 2020  CVaR For Different Strangles
In last week’s Skinny on Quantitative Finance, we introduced [Conditional Value at Risk (CVaR)](https://ontt.tv/35NMSY1).
This metric can be used as an estimate for the expected loss of a portfolio/position at a given likelihood level and can be u...
In last week’s Skinny on Quantitative Finance, we introduced [Conditional Value at Risk (CVaR)](https://ontt.tv/35NMSY1).
This metric can be used as an estimate for the expected loss of a portfolio/position at a given likelihood level and can be used to model losses in extreme cases.
Join Tom and Tony as they look at some CVaR calculations for different types of earlymanaged SPY strangles.
http://feeds.tastytrade.com/media/138368/TTL_MM_201124_SEG_EDIT.mp4
Tue, 24 Nov 2020 07:19:00 0600
784.021

tastytrade LIVE  November 23, 2020  Overtrading Is a Thing of the Past
Since selling premium has been profitable historically, the worst thing we can do is not trade often and not take advantage of favorable odds.
In order to realize a stable win rate and P/L in an account, one must stay small and trade often.
“Qual...
Since selling premium has been profitable historically, the worst thing we can do is not trade often and not take advantage of favorable odds.
In order to realize a stable win rate and P/L in an account, one must stay small and trade often.
“Quality trades” are synonymous with “liquidity”, which in today’s markets is easier than ever to come by.
http://feeds.tastytrade.com/media/138334/TTL_MM_201123_POD.mp3
Mon, 23 Nov 2020 07:40:00 0600
666.731
number of occurrences

tastytrade LIVE  November 23, 2020  Overtrading Is a Thing of the Past
Since selling premium has been profitable historically, the worst thing we can do is not trade often and not take advantage of favorable odds.
In order to realize a stable win rate and P/L in an account, one must stay small and trade often.
“Qual...
Since selling premium has been profitable historically, the worst thing we can do is not trade often and not take advantage of favorable odds.
In order to realize a stable win rate and P/L in an account, one must stay small and trade often.
“Quality trades” are synonymous with “liquidity”, which in today’s markets is easier than ever to come by.
http://feeds.tastytrade.com/media/138333/TTL_MM_201123_SEG_EDIT.mp4
Mon, 23 Nov 2020 07:40:00 0600
616.021
number of occurrences

Market Measures  November 19, 2020  Wider Wings or More Contracts
When traders have more capital to utilize, they also have more choices to initiate options positions.
So if we want to scale up in trading Iron Condors, should we consider widening the width of wings first or increasing the number of contracts firs...
When traders have more capital to utilize, they also have more choices to initiate options positions.
So if we want to scale up in trading Iron Condors, should we consider widening the width of wings first or increasing the number of contracts first?
tastytrade conducts a study to determine the best approach to increasing trade size and exposure.
http://feeds.tastytrade.com/media/138269/TTL_MM_201119_POD.mp3
Thu, 19 Nov 2020 07:17:00 0600
621.931
spread width, scaling,

Market Measures  November 19, 2020  Wider Wings or More Contracts
When traders have more capital to utilize, they also have more choices to initiate options positions.
So if we want to scale up in trading Iron Condors, should we consider widening the width of wings first or increasing the number of contracts firs...
When traders have more capital to utilize, they also have more choices to initiate options positions.
So if we want to scale up in trading Iron Condors, should we consider widening the width of wings first or increasing the number of contracts first?
tastytrade conducts a study to determine the best approach to increasing trade size and exposure.
http://feeds.tastytrade.com/media/138268/TTL_MM_201119_SEG_EDIT.mp4
Thu, 19 Nov 2020 07:17:00 0600
571.243
spread width, scaling,

Market Measures  November 18, 2020  How Fast Can IV Deflate?
When implied volatility expands above its mean, it eventually mean reverts and contracts.
On average, it takes roughly two to three 45day cycles for IV to contract 20%.
The higher the implied volatility spikes to, the faster it contacts if measu...
When implied volatility expands above its mean, it eventually mean reverts and contracts.
On average, it takes roughly two to three 45day cycles for IV to contract 20%.
The higher the implied volatility spikes to, the faster it contacts if measuring by the same percentage.
http://feeds.tastytrade.com/media/138236/TTL_MM_201118_SEG_EDIT.mp4
Wed, 18 Nov 2020 07:37:00 0600
442.411
implied volatility, expansion, contraction, mean reversion,

Market Measures  November 18, 2020  How Fast Can IV Deflate?
When implied volatility expands above its mean, it eventually mean reverts and contracts.
On average, it takes roughly two to three 45day cycles for IV to contract 20%.
The higher the implied volatility spikes to, the faster it contacts if measu...
When implied volatility expands above its mean, it eventually mean reverts and contracts.
On average, it takes roughly two to three 45day cycles for IV to contract 20%.
The higher the implied volatility spikes to, the faster it contacts if measuring by the same percentage.
http://feeds.tastytrade.com/media/138237/TTL_MM_201118_POD.mp3
Wed, 18 Nov 2020 07:37:00 0600
493.12
implied volatility, expansion, contraction, mean reversion,

Market Measures  November 17, 2020  Holding Out After Half Max Profit
Typically we manage 45 DTE short premium positions at 21 DTE or half max profit (half the initial credit received from opening the trade).
However, if we hit the half max profit prior to 21 DTE, is it worth it to hold out to 21 DTE?
Join Tom an...
Typically we manage 45 DTE short premium positions at 21 DTE or half max profit (half the initial credit received from opening the trade).
However, if we hit the half max profit prior to 21 DTE, is it worth it to hold out to 21 DTE?
Join Tom and Tony as they discuss whether holding out to 21 DTE can be more profitable than managing a trade at half max profit.
http://feeds.tastytrade.com/media/138204/TTL_MM_201117_POD.mp3
Tue, 17 Nov 2020 07:07:00 0600
659.819
trade management, 21 DTE, days to expiration, profit target

Market Measures  November 17, 2020  Holding Out After Half Max Profit
Typically we manage 45 DTE short premium positions at 21 DTE or half max profit (half the initial credit received from opening the trade).
However, if we hit the half max profit prior to 21 DTE, is it worth it to hold out to 21 DTE?
Join Tom an...
Typically we manage 45 DTE short premium positions at 21 DTE or half max profit (half the initial credit received from opening the trade).
However, if we hit the half max profit prior to 21 DTE, is it worth it to hold out to 21 DTE?
Join Tom and Tony as they discuss whether holding out to 21 DTE can be more profitable than managing a trade at half max profit.
http://feeds.tastytrade.com/media/138203/TTL_MM_201117_SEG_EDIT.mp4
Tue, 17 Nov 2020 07:07:00 0600
609.109
trade management, 21 DTE, days to expiration, profit target

tastytrade LIVE  November 16, 2020  How Much Diversification Can We Achieve?
Traditional diversification involves buying stocks in different sectors to reduce individual company risk. Doing so results in a portfolio that mimics the volatility of the S&P 500.
However, by utilizing options in the S&P 500 coupled with options i...
Traditional diversification involves buying stocks in different sectors to reduce individual company risk. Doing so results in a portfolio that mimics the volatility of the S&P 500.
However, by utilizing options in the S&P 500 coupled with options in noncorrelated assets can provide an additional 56% reduction in portfolio volatility compared to just holding a basket of long stock.
http://feeds.tastytrade.com/media/138170/TTL_MM_201116_POD.mp3
Mon, 16 Nov 2020 07:01:00 0600
661.824
diversification, portfolio management, correlation,

tastytrade LIVE  November 16, 2020  How Much Diversification Can We Achieve?
Traditional diversification involves buying stocks in different sectors to reduce individual company risk. Doing so results in a portfolio that mimics the volatility of the S&P 500.
However, by utilizing options in the S&P 500 coupled with options i...
Traditional diversification involves buying stocks in different sectors to reduce individual company risk. Doing so results in a portfolio that mimics the volatility of the S&P 500.
However, by utilizing options in the S&P 500 coupled with options in noncorrelated assets can provide an additional 56% reduction in portfolio volatility compared to just holding a basket of long stock.
http://feeds.tastytrade.com/media/138169/TTL_MM_201116_SEG_EDIT.mp4
Mon, 16 Nov 2020 07:01:00 0600
611.093
diversification, portfolio management, correlation,

Market Measures  November 13, 2020  Trading When Volatility is Volatile
On any given day and following a large contraction day, there’s roughly a 50/50 chance that the VIX returns will be positive or negative.
However, What does the VIX returns distribution look like on the day following a large move?
Join Tom and ...
On any given day and following a large contraction day, there’s roughly a 50/50 chance that the VIX returns will be positive or negative.
However, What does the VIX returns distribution look like on the day following a large move?
Join Tom and Tony as they discuss trading when IV has large moves.
http://feeds.tastytrade.com/media/138137/TTL_MM_201113_SEG_EDIT.mp4
Fri, 13 Nov 2020 07:40:00 0600
393.195
implied volatility, VIX,

tastytrade LIVE  November 12, 2020  Buying Power Adjusted Volatility
While traders expect to see higher potential Return on Capital (ROC) for narrow spreads, the reality tells a different story.
The reason behind it is volatility.
Today, tastytrade researches the buying power adjusted volatility of options posit...
While traders expect to see higher potential Return on Capital (ROC) for narrow spreads, the reality tells a different story.
The reason behind it is volatility.
Today, tastytrade researches the buying power adjusted volatility of options positions.
http://feeds.tastytrade.com/media/138107/TTL_MM_201112_POD.mp3
Thu, 12 Nov 2020 07:14:00 0600
443.072
buying power, return on capital, volatility

tastytrade LIVE  November 12, 2020  Buying Power Adjusted Volatility
While traders expect to see higher potential Return on Capital (ROC) for narrow spreads, the reality tells a different story.
The reason behind it is volatility.
Today, tastytrade researches the buying power adjusted volatility of options posit...
While traders expect to see higher potential Return on Capital (ROC) for narrow spreads, the reality tells a different story.
The reason behind it is volatility.
Today, tastytrade researches the buying power adjusted volatility of options positions.
http://feeds.tastytrade.com/media/138106/TTL_MM_201112_SEG_EDIT.mp4
Thu, 12 Nov 2020 07:14:00 0600
392.363
buying power, return on capital, volatility

Market Measures  November 11, 2020  Selling Into IV Strength
Trades placed after a VIX “pop” experience larger average P/L. Staying small and conserving capital when VIX is low allows us to trade these opportunities when they arise.
But don’t completely sit on your hands...even in all IV environments, SPY str...
Trades placed after a VIX “pop” experience larger average P/L. Staying small and conserving capital when VIX is low allows us to trade these opportunities when they arise.
But don’t completely sit on your hands...even in all IV environments, SPY strangles show a positive average P/L.
http://feeds.tastytrade.com/media/138067/TTL_MM_201111_POD.mp3
Wed, 11 Nov 2020 07:34:00 0600
434.581
VIX, volatility expansion, volatility spikes, implied volatility

Market Measures  November 11, 2020  Selling Into IV Strength
Trades placed after a VIX “pop” experience larger average P/L. Staying small and conserving capital when VIX is low allows us to trade these opportunities when they arise.
But don’t completely sit on your hands...even in all IV environments, SPY str...
Trades placed after a VIX “pop” experience larger average P/L. Staying small and conserving capital when VIX is low allows us to trade these opportunities when they arise.
But don’t completely sit on your hands...even in all IV environments, SPY strangles show a positive average P/L.
http://feeds.tastytrade.com/media/138066/TTL_MM_201111_SEG_EDIT.mp4
Wed, 11 Nov 2020 07:34:00 0600
383.851
VIX, volatility expansion, volatility spikes, implied volatility

Market Measures  November 10, 2020  Option Exposure to Directional Risk
Short premium positions generally profit from contractions in IV, but these strategies are also subject to underlying directional risk.
How do strangles perform when their underlying has a substantial upday and their IV has a large contraction?
...
Short premium positions generally profit from contractions in IV, but these strategies are also subject to underlying directional risk.
How do strangles perform when their underlying has a substantial upday and their IV has a large contraction?
Join Tom and Tony as they show how outlier updays can result in substantial losses and why it’s essential to keep position size small.
http://feeds.tastytrade.com/media/138038/TTL_MM_201110_POD.mp3
Tue, 10 Nov 2020 07:01:00 0600
590.123
sizing, market behavior, up days,

Market Measures  November 10, 2020  Option Exposure to Directional Risk
Short premium positions generally profit from contractions in IV, but these strategies are also subject to underlying directional risk.
How do strangles perform when their underlying has a substantial upday and their IV has a large contraction?
...
Short premium positions generally profit from contractions in IV, but these strategies are also subject to underlying directional risk.
How do strangles perform when their underlying has a substantial upday and their IV has a large contraction?
Join Tom and Tony as they show how outlier updays can result in substantial losses and why it’s essential to keep position size small.
http://feeds.tastytrade.com/media/138037/TTL_MM_201110_SEG_EDIT.mp4
Tue, 10 Nov 2020 07:01:00 0600
539.371
sizing, market behavior, up days,

Market Measures  November 9, 2020  Frequency of Strong Rallies
Last week’s up move was an anomaly happening just 1 in 200 times over the last 30 years.
Like large down moves, large up moves happen in periods of high IV, and last week was no exception.
Last week’s up move was an anomaly happening just 1 in 200 times over the last 30 years.
Like large down moves, large up moves happen in periods of high IV, and last week was no exception.
http://feeds.tastytrade.com/media/138005/TTL_MM_201109_POD.mp3
Mon, 09 Nov 2020 07:06:00 0600
551.488

Market Measures  November 9, 2020  Frequency of Strong Rallies
Last week’s up move was an anomaly happening just 1 in 200 times over the last 30 years.
Like large down moves, large up moves happen in periods of high IV, and last week was no exception.
Last week’s up move was an anomaly happening just 1 in 200 times over the last 30 years.
Like large down moves, large up moves happen in periods of high IV, and last week was no exception.
http://feeds.tastytrade.com/media/138004/TTL_MM_201109_SEG_EDIT.mp4
Mon, 09 Nov 2020 07:06:00 0600
500.736

tastytrade LIVE  November 5, 2020  ROC and Volatility
High return on capital (ROC) strategies are always attractive for traders, but the negative side is high volatility.
Today, the research team will examine the relationship between ROC and volatility through varying width Iron Condors.
High return on capital (ROC) strategies are always attractive for traders, but the negative side is high volatility.
Today, the research team will examine the relationship between ROC and volatility through varying width Iron Condors.
http://feeds.tastytrade.com/media/137932/TTL_MM_201105_POD.mp3
Thu, 05 Nov 2020 07:06:00 0600
707.392
return on capital, ROC, volatility, buying power,

tastytrade LIVE  November 5, 2020  ROC and Volatility
High return on capital (ROC) strategies are always attractive for traders, but the negative side is high volatility.
Today, the research team will examine the relationship between ROC and volatility through varying width Iron Condors.
High return on capital (ROC) strategies are always attractive for traders, but the negative side is high volatility.
Today, the research team will examine the relationship between ROC and volatility through varying width Iron Condors.
http://feeds.tastytrade.com/media/137931/TTL_MM_201105_SEG_EDIT.mp4
Thu, 05 Nov 2020 07:06:00 0600
656.661
return on capital, ROC, volatility, buying power,

Market Measures  November 4, 2020  How Bad Are Outliers in High IV
On average, higher Implied Volatility does lead to higher P/L in short premium strategies on average.
More importantly, selling premium in low IV environments experience most of the outlier losses, making the case to stay small when IV is low, and i...
On average, higher Implied Volatility does lead to higher P/L in short premium strategies on average.
More importantly, selling premium in low IV environments experience most of the outlier losses, making the case to stay small when IV is low, and increase size when IV is high.
http://feeds.tastytrade.com/media/137899/TTL_MM_201104_POD.mp3
Wed, 04 Nov 2020 06:33:00 0600
509.248

Market Measures  November 4, 2020  How Bad Are Outliers in High IV
On average, higher Implied Volatility does lead to higher P/L in short premium strategies on average.
More importantly, selling premium in low IV environments experience most of the outlier losses, making the case to stay small when IV is low, and i...
On average, higher Implied Volatility does lead to higher P/L in short premium strategies on average.
More importantly, selling premium in low IV environments experience most of the outlier losses, making the case to stay small when IV is low, and increase size when IV is high.
http://feeds.tastytrade.com/media/137898/TTL_MM_201104_SEG_EDIT.mp4
Wed, 04 Nov 2020 06:33:00 0600
458.539

Market Measures  November 3, 2020  Delta and Large Losses
Our past research has shown that the probability of incurring a large loss tends to decrease with IVR for 16Δ SPY strangles.
But how does this probability scale with strangle delta in high IVR?
Join Tom and Tony as they discuss how likely it is...
Our past research has shown that the probability of incurring a large loss tends to decrease with IVR for 16Δ SPY strangles.
But how does this probability scale with strangle delta in high IVR?
Join Tom and Tony as they discuss how likely it is for different delta strangles to incur large losses in high IVR.
http://feeds.tastytrade.com/media/137844/TTL_MM_201103_POD.mp3
Tue, 03 Nov 2020 06:59:00 0600
868.885
strangle, delta, high IV Rank,

Market Measures  November 3, 2020  Delta and Large Losses
Our past research has shown that the probability of incurring a large loss tends to decrease with IVR for 16Δ SPY strangles.
But how does this probability scale with strangle delta in high IVR?
Join Tom and Tony as they discuss how likely it is...
Our past research has shown that the probability of incurring a large loss tends to decrease with IVR for 16Δ SPY strangles.
But how does this probability scale with strangle delta in high IVR?
Join Tom and Tony as they discuss how likely it is for different delta strangles to incur large losses in high IVR.
http://feeds.tastytrade.com/media/137843/TTL_MM_201103_SEG_EDIT.mp4
Tue, 03 Nov 2020 06:59:00 0600
818.133
strangle, delta, high IV Rank,

Market Measures  November 2, 2020  Why You Shouldn't Be Afraid of Selloffs
Market selloffs provide excellent opportunities to sell strangles due to the higher P/L and credit you receive.
Generally, the larger the down day that you sell your strangle into, the higher the average P/L for that strangle historically
Market selloffs provide excellent opportunities to sell strangles due to the higher P/L and credit you receive.
Generally, the larger the down day that you sell your strangle into, the higher the average P/L for that strangle historically
http://feeds.tastytrade.com/media/137811/TTL_MM_201102_POD.mp3
Mon, 02 Nov 2020 06:54:00 0600
628.544

Market Measures  November 2, 2020  Why You Shouldn't Be Afraid of Selloffs
Market selloffs provide excellent opportunities to sell strangles due to the higher P/L and credit you receive.
Generally, the larger the down day that you sell your strangle into, the higher the average P/L for that strangle historically
Market selloffs provide excellent opportunities to sell strangles due to the higher P/L and credit you receive.
Generally, the larger the down day that you sell your strangle into, the higher the average P/L for that strangle historically
http://feeds.tastytrade.com/media/137809/TTL_MM_201102_SEG_EDIT.mp4
Mon, 02 Nov 2020 06:54:00 0600
577.813