Market Measures Podcast
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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  September 18, 2020  Conditional Intraday Reversals
The chance of a complete reversal given today is a 0.5% or greater rally is 19%, or roughly 1 in 5. The chance of a complete reversal given today is a 0.5% or greater selloff is 23%, or roughly 1 in 4. This segment discusses the probabilities of a reve...
The chance of a complete reversal given today is a 0.5% or greater rally is 19%, or roughly 1 in 5. The chance of a complete reversal given today is a 0.5% or greater selloff is 23%, or roughly 1 in 4. This segment discusses the probabilities of a reversal given a certain move has already happened, and the previous segments discussed the probabilities of seeing a certain move and then a reversal on any randomly chosen day.
http://feeds.tastytrade.com/media/136783/TTL_MM_200918_POD.mp3
Fri, 18 Sep 2020 06:20:00 0500
878.059
market reversal, market behavior,

tastytrade LIVE  September 18, 2020  Conditional Intraday Reversals
The chance of a complete reversal given today is a 0.5% or greater rally is 19%, or roughly 1 in 5. The chance of a complete reversal given today is a 0.5% or greater selloff is 23%, or roughly 1 in 4. This segment discusses the probabilities of a reve...
The chance of a complete reversal given today is a 0.5% or greater rally is 19%, or roughly 1 in 5. The chance of a complete reversal given today is a 0.5% or greater selloff is 23%, or roughly 1 in 4. This segment discusses the probabilities of a reversal given a certain move has already happened, and the previous segments discussed the probabilities of seeing a certain move and then a reversal on any randomly chosen day.
http://feeds.tastytrade.com/media/136782/TTL_MM_200918_SEG_EDIT.mp4
Fri, 18 Sep 2020 06:20:00 0500
827.307
market reversal, market behavior,

Market Measures  September 17, 2020  NonDirectional Trade
When we sell neutral options strategies with 45 days to expiration the underlying has 45 days to move for or against us.
What does history tell us about how an underlying moves in 45 days?
In this segment, we’ll look at the number of times diff...
When we sell neutral options strategies with 45 days to expiration the underlying has 45 days to move for or against us.
What does history tell us about how an underlying moves in 45 days?
In this segment, we’ll look at the number of times different products revert back to the price which we originally sold the neutral strategy.
http://feeds.tastytrade.com/media/136750/TTL_MM_200917_POD.mp3
Thu, 17 Sep 2020 08:01:00 0500
660.651

Market Measures  September 17, 2020  NonDirectional Trade
When we sell neutral options strategies with 45 days to expiration the underlying has 45 days to move for or against us.
What does history tell us about how an underlying moves in 45 days?
In this segment, we’ll look at the number of times diff...
When we sell neutral options strategies with 45 days to expiration the underlying has 45 days to move for or against us.
What does history tell us about how an underlying moves in 45 days?
In this segment, we’ll look at the number of times different products revert back to the price which we originally sold the neutral strategy.
http://feeds.tastytrade.com/media/136749/TTL_MM_200917_SEG_EDIT.mp4
Thu, 17 Sep 2020 08:01:00 0500
609.877

Market Measures  September 16, 2020  Risk and Scaling Delta
Our past research has shown that it’s profitable to scale up the delta for SPY strangles in high IVR environments.
While this can be a highly profitable strategy in high IVR, this comes with the tradeoff of disproportionately higher risk.
Join T...
Our past research has shown that it’s profitable to scale up the delta for SPY strangles in high IVR environments.
While this can be a highly profitable strategy in high IVR, this comes with the tradeoff of disproportionately higher risk.
Join Tom and Tony as they revisit this strategy of scaling delta in high IVR from the perspective of profitability and risk.
http://feeds.tastytrade.com/media/136719/TTL_MM_200916_POD.mp3
Wed, 16 Sep 2020 09:24:00 0500
647.531
scaling, portfolio management, high implied volatility,

Market Measures  September 16, 2020  Risk and Scaling Delta
Our past research has shown that it’s profitable to scale up the delta for SPY strangles in high IVR environments.
While this can be a highly profitable strategy in high IVR, this comes with the tradeoff of disproportionately higher risk.
Join T...
Our past research has shown that it’s profitable to scale up the delta for SPY strangles in high IVR environments.
While this can be a highly profitable strategy in high IVR, this comes with the tradeoff of disproportionately higher risk.
Join Tom and Tony as they revisit this strategy of scaling delta in high IVR from the perspective of profitability and risk.
http://feeds.tastytrade.com/media/136718/TTL_MM_200916_SEG_EDIT.mp4
Wed, 16 Sep 2020 09:24:00 0500
596.8
scaling, portfolio management, high implied volatility,

tastytrade LIVE  September 15, 2020  Volatility of Returns
Defined risk strategies are an excellent choice for smaller sized account.
Potential losses can be both quantified and adjusted.
Research has shown that total portfolio allocation should be capped around 60%, does this hold true when the risk i...
Defined risk strategies are an excellent choice for smaller sized account.
Potential losses can be both quantified and adjusted.
Research has shown that total portfolio allocation should be capped around 60%, does this hold true when the risk is defined?
Join Tom and Tony in today’s tastybite as they dig deeper into this question.
http://feeds.tastytrade.com/media/136687/TTL_MM_200915_SEG_EDIT.mp4
Tue, 15 Sep 2020 07:58:00 0500
783.765

tastytrade LIVE  September 15, 2020  Volatility of Returns
Defined risk strategies are an excellent choice for smaller sized account.
Potential losses can be both quantified and adjusted.
Research has shown that total portfolio allocation should be capped around 60%, does this hold true when the risk i...
Defined risk strategies are an excellent choice for smaller sized account.
Potential losses can be both quantified and adjusted.
Research has shown that total portfolio allocation should be capped around 60%, does this hold true when the risk is defined?
Join Tom and Tony in today’s tastybite as they dig deeper into this question.
http://feeds.tastytrade.com/media/136688/TTL_MM_200915_POD.mp3
Tue, 15 Sep 2020 07:58:00 0500
834.517

tastytrade LIVE  September 14, 2020  Smaller Intraday Reversals
On any random day over 20 years, the chance of a 0.5% or greater move and a reversal same day (in either direction) is 20%.
Since the chance of a +/ 0.5% close is 52%, and the chance of a +/ 0.5% move and reversal that same day is 20%, then on an...
On any random day over 20 years, the chance of a 0.5% or greater move and a reversal same day (in either direction) is 20%.
Since the chance of a +/ 0.5% close is 52%, and the chance of a +/ 0.5% move and reversal that same day is 20%, then on any randomly chosen day it is around 2.5x as likely to see a +/ 0.5% close than a +/ 0.5% move AND a reversal.
Tune in as Tom and Tony discuss this information and talk through ways to use it when trading options.
http://feeds.tastytrade.com/media/136658/TTL_MM_200914_POD(1).mp3
Mon, 14 Sep 2020 08:20:00 0500
1391.108
reversal, intraday, market awareness

tastytrade LIVE  September 14, 2020  Smaller Intraday Reversals
On any random day over 20 years, the chance of a 0.5% or greater move and a reversal same day (in either direction) is 20%.
Since the chance of a +/ 0.5% close is 52%, and the chance of a +/ 0.5% move and reversal that same day is 20%, then on an...
On any random day over 20 years, the chance of a 0.5% or greater move and a reversal same day (in either direction) is 20%.
Since the chance of a +/ 0.5% close is 52%, and the chance of a +/ 0.5% move and reversal that same day is 20%, then on any randomly chosen day it is around 2.5x as likely to see a +/ 0.5% close than a +/ 0.5% move AND a reversal.
Tune in as Tom and Tony discuss this information and talk through ways to use it when trading options.
http://feeds.tastytrade.com/media/136657/TTL_MM_200914_SEG.mp4
Mon, 14 Sep 2020 08:20:00 0500
1340.416
reversal, intraday, market awareness

Market Measures  September 10, 2020  Scalp in 2020
Compared to recent years, 2020 has been pretty volatile. But it is presenting great opportunities for short volatility trades and scalps.
Tune in to learn about the best market conditions for scalping and how tastytrade prefers to trade intraday op...
Compared to recent years, 2020 has been pretty volatile. But it is presenting great opportunities for short volatility trades and scalps.
Tune in to learn about the best market conditions for scalping and how tastytrade prefers to trade intraday opportunities.
http://feeds.tastytrade.com/media/136590/TTL_MM_200910_POD.mp3
Thu, 10 Sep 2020 09:09:00 0500
851.179
how to scalp, 2020 scalping,

Market Measures  September 10, 2020  Scalp in 2020
Compared to recent years, 2020 has been pretty volatile. But it is presenting great opportunities for short volatility trades and scalps.
Tune in to learn about the best market conditions for scalping and how tastytrade prefers to trade intraday op...
Compared to recent years, 2020 has been pretty volatile. But it is presenting great opportunities for short volatility trades and scalps.
Tune in to learn about the best market conditions for scalping and how tastytrade prefers to trade intraday opportunities.
http://feeds.tastytrade.com/media/136589/TTL_MM_200910_SEG_EDIT.mp4
Thu, 10 Sep 2020 09:09:00 0500
800.512
how to scalp, 2020 scalping,

Market Measures  September 9, 2020  Testing Multiple Occurrences
How does maximizing occurrences level out risk in a portfolio?
Maximizing the number of occurrences brings total results closer to what is expected statistically.
This leads to greater consistency in both P/L and win rates. tastytrade explains w...
How does maximizing occurrences level out risk in a portfolio?
Maximizing the number of occurrences brings total results closer to what is expected statistically.
This leads to greater consistency in both P/L and win rates. tastytrade explains with a 15 year analysis.
http://feeds.tastytrade.com/media/136559/TTL_MM_200909_POD.mp3
Wed, 09 Sep 2020 09:07:00 0500
732.032
number of occurrences, portfolio management, trade frequency

Market Measures  September 9, 2020  Testing Multiple Occurrences
How does maximizing occurrences level out risk in a portfolio?
Maximizing the number of occurrences brings total results closer to what is expected statistically.
This leads to greater consistency in both P/L and win rates. tastytrade explains w...
How does maximizing occurrences level out risk in a portfolio?
Maximizing the number of occurrences brings total results closer to what is expected statistically.
This leads to greater consistency in both P/L and win rates. tastytrade explains with a 15 year analysis.
http://feeds.tastytrade.com/media/136558/TTL_MM_200909_SEG_EDIT.mp4
Wed, 09 Sep 2020 09:07:00 0500
681.323
number of occurrences, portfolio management, trade frequency

tastytrade LIVE  September 8, 2020  Intraday Reversals
The chance of a complete reversal in the market after a 2% or greater daily move in either direction is just 1% (over 20 years).
**The chance of a reversal after a selloff is twice as likely as a reversal after a rally of the same size.**
Since ...
The chance of a complete reversal in the market after a 2% or greater daily move in either direction is just 1% (over 20 years).
**The chance of a reversal after a selloff is twice as likely as a reversal after a rally of the same size.**
Since the chance of a 2%+ close is 9%, and the chance of a 2%+ move and reversal that same day is 1%, then for every nine 2%+ closes, expect to see one 2%+ move followed by a reversal.
Tune in as Tom and Tony utilize this information, applying it to recent market activity.
http://feeds.tastytrade.com/media/136525/TTL_MM_200908_SEG_EDIT.mp4
Tue, 08 Sep 2020 08:58:00 0500
446.677
intraday reversal, selloff, rally, market awareness

tastytrade LIVE  September 8, 2020  Intraday Reversals
The chance of a complete reversal in the market after a 2% or greater daily move in either direction is just 1% (over 20 years).
**The chance of a reversal after a selloff is twice as likely as a reversal after a rally of the same size.**
Since ...
The chance of a complete reversal in the market after a 2% or greater daily move in either direction is just 1% (over 20 years).
**The chance of a reversal after a selloff is twice as likely as a reversal after a rally of the same size.**
Since the chance of a 2%+ close is 9%, and the chance of a 2%+ move and reversal that same day is 1%, then for every nine 2%+ closes, expect to see one 2%+ move followed by a reversal.
Tune in as Tom and Tony utilize this information, applying it to recent market activity.
http://feeds.tastytrade.com/media/136526/TTL_MM_200908_POD.mp3
Tue, 08 Sep 2020 08:58:00 0500
497.387
intraday reversal, selloff, rally, market awareness

Market Measures  September 4, 2020  IV Sensitivity
Yesterday SPY dropped by roughly 3.8% and the VIX spiked by nearly 32%.
However, when SPY dropped by 3.3% in late February, the VIX spiked by 47%.
And when SPY dropped by 3.3% in early March, the VIX only jumped by 24%.
Since IV tends to be ...
Yesterday SPY dropped by roughly 3.8% and the VIX spiked by nearly 32%.
However, when SPY dropped by 3.3% in late February, the VIX spiked by 47%.
And when SPY dropped by 3.3% in early March, the VIX only jumped by 24%.
Since IV tends to be highly inversely correlated with the underlying, we expect movements in the underlying to inversely scale with movements in IV the majority of the time.
However, movements in IV are highly dependent on market context, and today Tom and Tony are going to explore that in more detail.
http://feeds.tastytrade.com/media/136493/TTL_MM_200904_POD.mp3
Fri, 04 Sep 2020 09:19:00 0500
565.035
volatility spike,

Market Measures  September 4, 2020  IV Sensitivity
Yesterday SPY dropped by roughly 3.8% and the VIX spiked by nearly 32%.
However, when SPY dropped by 3.3% in late February, the VIX spiked by 47%.
And when SPY dropped by 3.3% in early March, the VIX only jumped by 24%.
Since IV tends to be ...
Yesterday SPY dropped by roughly 3.8% and the VIX spiked by nearly 32%.
However, when SPY dropped by 3.3% in late February, the VIX spiked by 47%.
And when SPY dropped by 3.3% in early March, the VIX only jumped by 24%.
Since IV tends to be highly inversely correlated with the underlying, we expect movements in the underlying to inversely scale with movements in IV the majority of the time.
However, movements in IV are highly dependent on market context, and today Tom and Tony are going to explore that in more detail.
http://feeds.tastytrade.com/media/136492/TTL_MM_200904_SEG_EDIT.mp4
Fri, 04 Sep 2020 09:19:00 0500
514.325
volatility spike,

tastytrade LIVE  September 3, 2020  Adjusting Exposure and Time
To meet a desired success goal, we need to effectively consider our approach as it relates to exposure and size.
Exposure in the market should be in line with personal preferences and established mechanics.
Join Tom and Tony today as they dig d...
To meet a desired success goal, we need to effectively consider our approach as it relates to exposure and size.
Exposure in the market should be in line with personal preferences and established mechanics.
Join Tom and Tony today as they dig deeper.
http://feeds.tastytrade.com/media/136461/TTL_MM_200903_POD.mp3
Thu, 03 Sep 2020 09:03:00 0500
550.336

tastytrade LIVE  September 3, 2020  Adjusting Exposure and Time
To meet a desired success goal, we need to effectively consider our approach as it relates to exposure and size.
Exposure in the market should be in line with personal preferences and established mechanics.
Join Tom and Tony today as they dig d...
To meet a desired success goal, we need to effectively consider our approach as it relates to exposure and size.
Exposure in the market should be in line with personal preferences and established mechanics.
Join Tom and Tony today as they dig deeper.
http://feeds.tastytrade.com/media/136460/TTL_MM_200903_SEG_EDIT.mp4
Thu, 03 Sep 2020 09:03:00 0500
499.648

tastytrade LIVE  September 2, 2020  IV and Direction
NASDAQ’s price and IV have become much less inversely correlated over the last three months...dropping from its long term correlation of 0.75 to a much weaker 0.42.
Compared to the last ten years, the last three months have observed roughly twi...
NASDAQ’s price and IV have become much less inversely correlated over the last three months...dropping from its long term correlation of 0.75 to a much weaker 0.42.
Compared to the last ten years, the last three months have observed roughly twice the probability (on daily and weekly intervals) where both the NASDAQ and its IV go up together.
http://feeds.tastytrade.com/media/136427/TTL_MM_200902_SEG_EDIT.mp4
Wed, 02 Sep 2020 08:39:00 0500
628.267

tastytrade LIVE  September 2, 2020  IV and Direction
NASDAQ’s price and IV have become much less inversely correlated over the last three months...dropping from its long term correlation of 0.75 to a much weaker 0.42.
Compared to the last ten years, the last three months have observed roughly twi...
NASDAQ’s price and IV have become much less inversely correlated over the last three months...dropping from its long term correlation of 0.75 to a much weaker 0.42.
Compared to the last ten years, the last three months have observed roughly twice the probability (on daily and weekly intervals) where both the NASDAQ and its IV go up together.
http://feeds.tastytrade.com/media/136428/TTL_MM_200902_POD.mp3
Wed, 02 Sep 2020 08:39:00 0500
678.976

Market Measures  September 1, 2020  A Bit About Bitcoin
Soon a selection of cryptocurrencies will be available on the tastyworks platform.
Today, we will dive into some statistics around one of the most popular cryptocurrencies, Bitcoin (BTC).
Join Tom and Tony as they look at correlations, historic...
Soon a selection of cryptocurrencies will be available on the tastyworks platform.
Today, we will dive into some statistics around one of the most popular cryptocurrencies, Bitcoin (BTC).
Join Tom and Tony as they look at correlations, historical volatilities, and the ideal ratio of BTC to SPY for gaining BTC exposure with minimal portfolio volatility.
http://feeds.tastytrade.com/media/136396/TTL_MM_200901_POD.mp3
Tue, 01 Sep 2020 08:27:00 0500
740.459

Market Measures  September 1, 2020  A Bit About Bitcoin
Soon a selection of cryptocurrencies will be available on the tastyworks platform.
Today, we will dive into some statistics around one of the most popular cryptocurrencies, Bitcoin (BTC).
Join Tom and Tony as they look at correlations, historic...
Soon a selection of cryptocurrencies will be available on the tastyworks platform.
Today, we will dive into some statistics around one of the most popular cryptocurrencies, Bitcoin (BTC).
Join Tom and Tony as they look at correlations, historical volatilities, and the ideal ratio of BTC to SPY for gaining BTC exposure with minimal portfolio volatility.
http://feeds.tastytrade.com/media/136395/TTL_MM_200901_SEG_EDIT.mp4
Tue, 01 Sep 2020 08:27:00 0500
689.728

tastytrade LIVE  August 31, 2020  2 Standard Deviation Reversal
Since this March, we have seen an increasing number of underlyings that have onesided movement.
So, we may wonder how often and how quickly should we expect to see reversals after these extreme moves?
Tom and Tony examine a study done by the Re...
Since this March, we have seen an increasing number of underlyings that have onesided movement.
So, we may wonder how often and how quickly should we expect to see reversals after these extreme moves?
Tom and Tony examine a study done by the Research Team to see how common these occurrences can be. Tune in to see how duration can impact the results.
http://feeds.tastytrade.com/media/136360/TTL_MM_200831_SEG_EDIT.mp4
Mon, 31 Aug 2020 09:28:00 0500
451.115
multistandard deviation, reversal, 2020 market, market awareness

tastytrade LIVE  August 31, 2020  2 Standard Deviation Reversal
Since this March, we have seen an increasing number of underlyings that have onesided movement.
So, we may wonder how often and how quickly should we expect to see reversals after these extreme moves?
Tom and Tony examine a study done by the Re...
Since this March, we have seen an increasing number of underlyings that have onesided movement.
So, we may wonder how often and how quickly should we expect to see reversals after these extreme moves?
Tom and Tony examine a study done by the Research Team to see how common these occurrences can be. Tune in to see how duration can impact the results.
http://feeds.tastytrade.com/media/136361/TTL_MM_200831_POD.mp3
Mon, 31 Aug 2020 09:28:00 0500
501.824
multistandard deviation, reversal, 2020 market, market awareness

tastytrade LIVE  August 27, 2020  Stock Splits and Price
Contrary to popular belief, in AAPL’s case, stock splits do not at all provide any indication of future performance. Any postsplit performance that deviates from the stock’s long term average cannot be immediately attributed to split unless there are ...
Contrary to popular belief, in AAPL’s case, stock splits do not at all provide any indication of future performance. Any postsplit performance that deviates from the stock’s long term average cannot be immediately attributed to split unless there are a). a lot of split occurrences and b). a statistically significant deviation from its average (at least two standard deviations). In AAPL’s case, there was neither.
http://feeds.tastytrade.com/media/136295/TTL_MM_200827_SEG_EDIT.mp4
Thu, 27 Aug 2020 09:13:00 0500
559.595

tastytrade LIVE  August 27, 2020  Stock Splits and Price
Contrary to popular belief, in AAPL’s case, stock splits do not at all provide any indication of future performance. Any postsplit performance that deviates from the stock’s long term average cannot be immediately attributed to split unless there are ...
Contrary to popular belief, in AAPL’s case, stock splits do not at all provide any indication of future performance. Any postsplit performance that deviates from the stock’s long term average cannot be immediately attributed to split unless there are a). a lot of split occurrences and b). a statistically significant deviation from its average (at least two standard deviations). In AAPL’s case, there was neither.
http://feeds.tastytrade.com/media/136296/TTL_MM_200827_POD.mp3
Thu, 27 Aug 2020 09:13:00 0500
610.283

Market Measures  August 26, 2020  NASDAQ Returns
This year, the NASDAQ has experienced some of the greatest turbulence it has ever seen...from being down 30% to being up 30% on the year.
Because of this, current implied volatility has been significantly overstating the actual volatility of most...
This year, the NASDAQ has experienced some of the greatest turbulence it has ever seen...from being down 30% to being up 30% on the year.
Because of this, current implied volatility has been significantly overstating the actual volatility of most recent moves due to the fear of more turbulence.
http://feeds.tastytrade.com/media/136264/TTL_MM_200826_POD.mp3
Wed, 26 Aug 2020 09:29:00 0500
551.232
NADSAQ, 2020, Tech, /NQ, equity index

Market Measures  August 26, 2020  NASDAQ Returns
This year, the NASDAQ has experienced some of the greatest turbulence it has ever seen...from being down 30% to being up 30% on the year.
Because of this, current implied volatility has been significantly overstating the actual volatility of most...
This year, the NASDAQ has experienced some of the greatest turbulence it has ever seen...from being down 30% to being up 30% on the year.
Because of this, current implied volatility has been significantly overstating the actual volatility of most recent moves due to the fear of more turbulence.
http://feeds.tastytrade.com/media/136263/TTL_MM_200826_SEG_EDIT.mp4
Wed, 26 Aug 2020 09:29:00 0500
500.501
NADSAQ, 2020, Tech, /NQ, equity index

Market Measures  August 25, 2020  Theta of RiskDefined Strategies
Premium sellers prefer to collect theta, but with riskdefined trades, we can sometimes experience negative theta.
Today, Tom and Tony discuss the theta of Iron Condors with various wings and its impact on P/L.
Premium sellers prefer to collect theta, but with riskdefined trades, we can sometimes experience negative theta.
Today, Tom and Tony discuss the theta of Iron Condors with various wings and its impact on P/L.
http://feeds.tastytrade.com/media/136231/TTL_MM_200825_POD.mp3
Tue, 25 Aug 2020 09:20:00 0500
622.251
theta decay, iron condor,

Market Measures  August 25, 2020  Theta of RiskDefined Strategies
Premium sellers prefer to collect theta, but with riskdefined trades, we can sometimes experience negative theta.
Today, Tom and Tony discuss the theta of Iron Condors with various wings and its impact on P/L.
Premium sellers prefer to collect theta, but with riskdefined trades, we can sometimes experience negative theta.
Today, Tom and Tony discuss the theta of Iron Condors with various wings and its impact on P/L.
http://feeds.tastytrade.com/media/136230/TTL_MM_200825_SEG_EDIT.mp4
Tue, 25 Aug 2020 09:20:00 0500
571.541
theta decay, iron condor,

Market Measures  August 24, 2020  Market Outliers
The day of the first outlier move experienced in the market, expect to have a loss that is roughly 15% of the total credit received of your strangle.
However, on average, trades that had outlier price moves in the underlying were more profitable ...
The day of the first outlier move experienced in the market, expect to have a loss that is roughly 15% of the total credit received of your strangle.
However, on average, trades that had outlier price moves in the underlying were more profitable because outliers tend to cluster, and thus options become priced to anticipate more outliers.
The key is to stay small before the first outlier move (when IV is low) in order to take advantage of the higher premiums that follow.
http://feeds.tastytrade.com/media/136198/TTL_MM_200824_POD.mp3
Mon, 24 Aug 2020 09:40:00 0500
750.912

Market Measures  August 24, 2020  Market Outliers
The day of the first outlier move experienced in the market, expect to have a loss that is roughly 15% of the total credit received of your strangle.
However, on average, trades that had outlier price moves in the underlying were more profitable ...
The day of the first outlier move experienced in the market, expect to have a loss that is roughly 15% of the total credit received of your strangle.
However, on average, trades that had outlier price moves in the underlying were more profitable because outliers tend to cluster, and thus options become priced to anticipate more outliers.
The key is to stay small before the first outlier move (when IV is low) in order to take advantage of the higher premiums that follow.
http://feeds.tastytrade.com/media/136197/TTL_MM_200824_SEG_EDIT.mp4
Mon, 24 Aug 2020 09:40:00 0500
700.181