Research Specials LIVE 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.
Our research team takes it to the studio to discuss their interpretation of recent trading studies.
Our research team takes it to the studio to discuss their interpretation of recent trading studies.
tastytrade, Inc.
support@tastytrade.com

Research Specials LIVE  March 21, 2019  Outlier Moves
An outlier move, by definition, is an uncommon event. Unfamiliar option traders may assume that these moves wipe out option traders. Tune in to this episode of Research Specials Live as Anton and Michael G. discuss the surprisingly dismal impact outlie...
An outlier move, by definition, is an uncommon event. Unfamiliar option traders may assume that these moves wipe out option traders. Tune in to this episode of Research Specials Live as Anton and Michael G. discuss the surprisingly dismal impact outlier moves have on short strangle performance.
http://feeds.tastytrade.com/media/89650/RES_190321_POD.m4a
Thu, 21 Mar 2019 14:00:00 0500
1356.48

Research Specials LIVE  March 21, 2019  Outlier Moves
An outlier move, by definition, is an uncommon event. Unfamiliar option traders may assume that these moves wipe out option traders. Tune in to this episode of Research Specials Live as Anton and Michael G. discuss the surprisingly dismal impact outlie...
An outlier move, by definition, is an uncommon event. Unfamiliar option traders may assume that these moves wipe out option traders. Tune in to this episode of Research Specials Live as Anton and Michael G. discuss the surprisingly dismal impact outlier moves have on short strangle performance.
http://feeds.tastytrade.com/media/89649/RES_190321_SEG.mp4
Thu, 21 Mar 2019 14:00:00 0500
1144.878

Research Specials LIVE  March 20, 2019  Reducing Size with Long Options
Often constrained by capital requirements, many smaller traders wonder how they can maintain market exposure. Tune in to this episode of Research Specials Live as Anton and Michael G. discuss several ways traders can maintain exposure similar to naked ...
Often constrained by capital requirements, many smaller traders wonder how they can maintain market exposure. Tune in to this episode of Research Specials Live as Anton and Michael G. discuss several ways traders can maintain exposure similar to naked positions with defined risk trades.
http://feeds.tastytrade.com/media/89602/RES_190320_POD.m4a
Wed, 20 Mar 2019 14:03:00 0500
1326.528

Research Specials LIVE  March 20, 2019  Reducing Size with Long Options
Often constrained by capital requirements, many smaller traders wonder how they can maintain market exposure. Tune in to this episode of Research Specials Live as Anton and Michael G. discuss several ways traders can maintain exposure similar to naked ...
Often constrained by capital requirements, many smaller traders wonder how they can maintain market exposure. Tune in to this episode of Research Specials Live as Anton and Michael G. discuss several ways traders can maintain exposure similar to naked positions with defined risk trades.
http://feeds.tastytrade.com/media/89601/RES_190320_SEG.mp4
Wed, 20 Mar 2019 14:03:00 0500
1114.881

Research Specials LIVE  March 19, 2019  Efficiency Metrics
Efficiency occurs when one variable is maximized while another is minimized. In trading we like to be capital efficient and risk efficient. These two terms minimize two different variables, capital and volatility. Tune in to this episode of Research Sp...
Efficiency occurs when one variable is maximized while another is minimized. In trading we like to be capital efficient and risk efficient. These two terms minimize two different variables, capital and volatility. Tune in to this episode of Research Specials Live as Anton and Michael G. discuss their favorite measures of efficiency and how they can be measured to improve trading.
http://feeds.tastytrade.com/media/89555/RES_190319_POD.m4a
Tue, 19 Mar 2019 14:00:00 0500
1339.848

Research Specials LIVE  March 19, 2019  Efficiency Metrics
Efficiency occurs when one variable is maximized while another is minimized. In trading we like to be capital efficient and risk efficient. These two terms minimize two different variables, capital and volatility. Tune in to this episode of Research Sp...
Efficiency occurs when one variable is maximized while another is minimized. In trading we like to be capital efficient and risk efficient. These two terms minimize two different variables, capital and volatility. Tune in to this episode of Research Specials Live as Anton and Michael G. discuss their favorite measures of efficiency and how they can be measured to improve trading.
http://feeds.tastytrade.com/media/89554/RES_190319_SEG.mp4
Tue, 19 Mar 2019 14:00:00 0500
1128.194

Research Specials LIVE  March 14, 2019  How IV Impacts Iron Condors
Aren't Iron Condors just Strangles with long options to define the risk? Not necessarily. In this piece Anton and Michael G. discuss how Implied Volatility has varying impacts on the trade credit as a percent of the underlying price. With their larger ...
Aren't Iron Condors just Strangles with long options to define the risk? Not necessarily. In this piece Anton and Michael G. discuss how Implied Volatility has varying impacts on the trade credit as a percent of the underlying price. With their larger Vega exposure, Strangles are more impacted by Implied Volatility than tight Iron Condors.
http://feeds.tastytrade.com/media/89419/RES_190314_POD.m4a
Thu, 14 Mar 2019 14:01:00 0500
1455.48

Research Specials LIVE  March 14, 2019  How IV Impacts Iron Condors
Aren't Iron Condors just Strangles with long options to define the risk? Not necessarily. In this piece Anton and Michael G. discuss how Implied Volatility has varying impacts on the trade credit as a percent of the underlying price. With their larger ...
Aren't Iron Condors just Strangles with long options to define the risk? Not necessarily. In this piece Anton and Michael G. discuss how Implied Volatility has varying impacts on the trade credit as a percent of the underlying price. With their larger Vega exposure, Strangles are more impacted by Implied Volatility than tight Iron Condors.
http://feeds.tastytrade.com/media/89418/RES_190314_SEG.mp4
Thu, 14 Mar 2019 14:01:00 0500
1243.81

Research Specials LIVE  March 13, 2019  Volatility and Duration
One of the core management strategies for short premium trades is to sell at 45 DTE and manage at 21 days. This greatly reduces portfolio volatility thus providing a more consistent return. What happens if we keep the duration constant but trade the la...
One of the core management strategies for short premium trades is to sell at 45 DTE and manage at 21 days. This greatly reduces portfolio volatility thus providing a more consistent return. What happens if we keep the duration constant but trade the latter half of the expiration cycle?
### The Study:
* SPY
* 2005  2018
* 16 Delta Strangles
* Compared two Strategies:
* Selling 21 DTE, Holding to Expiration
* Selling 45 DTE, Managing at 21 DTE
* Both Strategies have the Same Duration
### Results:
The reason behind managing short premium trades at 21 days is to reduce the volatility. Although in theory we collect more Theta the closer we get to expiration, we assume greater risk. When we trade the back portion of the expiration cycle, we see lower average P/L. Trading at 45 DTE and managing at 21 days tends to provide the best balance between profits and volatility.
http://feeds.tastytrade.com/media/89387/RES_190313_POD.m4a
Wed, 13 Mar 2019 14:05:00 0500
1448.976

Research Specials LIVE  March 13, 2019  Volatility and Duration
One of the core management strategies for short premium trades is to sell at 45 DTE and manage at 21 days. This greatly reduces portfolio volatility thus providing a more consistent return. What happens if we keep the duration constant but trade the la...
One of the core management strategies for short premium trades is to sell at 45 DTE and manage at 21 days. This greatly reduces portfolio volatility thus providing a more consistent return. What happens if we keep the duration constant but trade the latter half of the expiration cycle?
### The Study:
* SPY
* 2005  2018
* 16 Delta Strangles
* Compared two Strategies:
* Selling 21 DTE, Holding to Expiration
* Selling 45 DTE, Managing at 21 DTE
* Both Strategies have the Same Duration
### Results:
The reason behind managing short premium trades at 21 days is to reduce the volatility. Although in theory we collect more Theta the closer we get to expiration, we assume greater risk. When we trade the back portion of the expiration cycle, we see lower average P/L. Trading at 45 DTE and managing at 21 days tends to provide the best balance between profits and volatility.
http://feeds.tastytrade.com/media/89386/RES_190313_SEG.mp4
Wed, 13 Mar 2019 14:05:00 0500
1237.37

Research Specials LIVE  March 12, 2019  Stop Losses in Strangles
Stop losses are a popular mantra of the options world. Do they really work in terms of improving your risk/reward?
###Study
* SPY
* 45 Days to Expiration
* 2005  2018
* 16 Delta Strangles
* Compared:
* Holding to Expiration
* Managing Earl...
Stop losses are a popular mantra of the options world. Do they really work in terms of improving your risk/reward?
###Study
* SPY
* 45 Days to Expiration
* 2005  2018
* 16 Delta Strangles
* Compared:
* Holding to Expiration
* Managing Early at 21 DTE
* Managing Losers at 25%, 50% and 75% of the Original Credit Collected
We find that although managing your losers did provide less risk in terms of your largest loss, your returns were significantly diminished. In terms of performance over 14 years, managing at 21 DTE provided a 200% return since 2005, while managing losers at 50% and holding to expiration only returned 50% over the same period.
http://feeds.tastytrade.com/media/89348/RES_190312_POD.m4a
Tue, 12 Mar 2019 14:04:00 0500
1395.96

Research Specials LIVE  March 12, 2019  Stop Losses in Strangles
Stop losses are a popular mantra of the options world. Do they really work in terms of improving your risk/reward?
###Study
* SPY
* 45 Days to Expiration
* 2005  2018
* 16 Delta Strangles
* Compared:
* Holding to Expiration
* Managing Earl...
Stop losses are a popular mantra of the options world. Do they really work in terms of improving your risk/reward?
###Study
* SPY
* 45 Days to Expiration
* 2005  2018
* 16 Delta Strangles
* Compared:
* Holding to Expiration
* Managing Early at 21 DTE
* Managing Losers at 25%, 50% and 75% of the Original Credit Collected
We find that although managing your losers did provide less risk in terms of your largest loss, your returns were significantly diminished. In terms of performance over 14 years, managing at 21 DTE provided a 200% return since 2005, while managing losers at 50% and holding to expiration only returned 50% over the same period.
http://feeds.tastytrade.com/media/89347/RES_190312_SEG.mp4
Tue, 12 Mar 2019 14:04:00 0500
1184.317

Research Specials LIVE  March 7, 2019  Measuring Premium
A popular entry signal for short premium traders is the level of implied volatility. The greater the implied volatility, the greater the option price. In this piece Anton and Michael G. look at premium collection as a percentage of the underlying stock...
A popular entry signal for short premium traders is the level of implied volatility. The greater the implied volatility, the greater the option price. In this piece Anton and Michael G. look at premium collection as a percentage of the underlying stock price in varying implied volatility environments.
http://feeds.tastytrade.com/media/89229/RES_190307_POD.m4a
Thu, 07 Mar 2019 14:05:00 0600
1383.792

Research Specials LIVE  March 7, 2019  Measuring Premium
A popular entry signal for short premium traders is the level of implied volatility. The greater the implied volatility, the greater the option price. In this piece Anton and Michael G. look at premium collection as a percentage of the underlying stock...
A popular entry signal for short premium traders is the level of implied volatility. The greater the implied volatility, the greater the option price. In this piece Anton and Michael G. look at premium collection as a percentage of the underlying stock price in varying implied volatility environments.
http://feeds.tastytrade.com/media/89228/RES_190307_SEG.mp4
Thu, 07 Mar 2019 14:05:00 0600
1172.138

Research Specials LIVE  March 6, 2019  Implied Volatility and Expectations
By looking at expected ranges we can determine where the market is pricing in expected price movement over the period of time.
To calculate the Expected Move in an underlying, use the following formula:
* PRICE ✕ (IV / 100) ✕ SQRT(DTE / 365)
B...
By looking at expected ranges we can determine where the market is pricing in expected price movement over the period of time.
To calculate the Expected Move in an underlying, use the following formula:
* PRICE ✕ (IV / 100) ✕ SQRT(DTE / 365)
By playing around with this, we can see the equal percent changes in any variable affect the expected range by around the same amount.
However, we know that in reality, the IV of the underlying will trump the other variables in changing the expected move and the price of options because IV is the most "volatile" of all the variables in the equation i.e. changes the most.
http://feeds.tastytrade.com/media/89186/RES_190306_POD.m4a
Wed, 06 Mar 2019 14:01:00 0600
1453.944

Research Specials LIVE  March 6, 2019  Implied Volatility and Expectations
By looking at expected ranges we can determine where the market is pricing in expected price movement over the period of time.
To calculate the Expected Move in an underlying, use the following formula:
* PRICE ✕ (IV / 100) ✕ SQRT(DTE / 365)
B...
By looking at expected ranges we can determine where the market is pricing in expected price movement over the period of time.
To calculate the Expected Move in an underlying, use the following formula:
* PRICE ✕ (IV / 100) ✕ SQRT(DTE / 365)
By playing around with this, we can see the equal percent changes in any variable affect the expected range by around the same amount.
However, we know that in reality, the IV of the underlying will trump the other variables in changing the expected move and the price of options because IV is the most "volatile" of all the variables in the equation i.e. changes the most.
http://feeds.tastytrade.com/media/89185/RES_190306_SEG.mp4
Wed, 06 Mar 2019 14:01:00 0600
1242.308

Research Specials LIVE  March 5, 2019  The Myth of Free Weekend Theta
The concept of weekend theta has been a popular concept in the world of options. But does it even exist? And if it does, is it really "free"?
###Study
* SPY
* Sold 16 delta strangles on the Friday closest to 45 DTE and bought them back on Monday.
...
The concept of weekend theta has been a popular concept in the world of options. But does it even exist? And if it does, is it really "free"?
###Study
* SPY
* Sold 16 delta strangles on the Friday closest to 45 DTE and bought them back on Monday.
* Compared to selling strangles 45 DTE and holding for one day.
* Recorded:
* Average P/L of the one day hold
* Average volatility of P/L of the one day hold
We find that weekend theta does exist, however, by no means is it free. You do collect more money for holding over the weekend compared to holding for one day on any day of the week, but you incur more risk in your P/L. Markets are efficient: more profits for more risk.
http://feeds.tastytrade.com/media/89139/RES_190305_POD.m4a
Tue, 05 Mar 2019 14:04:00 0600
1386.624

Research Specials LIVE  March 5, 2019  The Myth of Free Weekend Theta
The concept of weekend theta has been a popular concept in the world of options. But does it even exist? And if it does, is it really "free"?
###Study
* SPY
* Sold 16 delta strangles on the Friday closest to 45 DTE and bought them back on Monday.
...
The concept of weekend theta has been a popular concept in the world of options. But does it even exist? And if it does, is it really "free"?
###Study
* SPY
* Sold 16 delta strangles on the Friday closest to 45 DTE and bought them back on Monday.
* Compared to selling strangles 45 DTE and holding for one day.
* Recorded:
* Average P/L of the one day hold
* Average volatility of P/L of the one day hold
We find that weekend theta does exist, however, by no means is it free. You do collect more money for holding over the weekend compared to holding for one day on any day of the week, but you incur more risk in your P/L. Markets are efficient: more profits for more risk.
http://feeds.tastytrade.com/media/89138/RES_190305_SEG.mp4
Tue, 05 Mar 2019 14:04:00 0600
1174.974

Research Specials LIVE  February 28, 2019  Trade More or Trade Wide?
Trading more contracts and trading wider wings both increase your risk. But which method has performed better over the long run?
###Study:
* SPY, 45 Days to Expiration, 2005  2018
* 20 Delta Iron Condors with Varying Widths:
* $1, 5, 10 Wide...
Trading more contracts and trading wider wings both increase your risk. But which method has performed better over the long run?
###Study:
* SPY, 45 Days to Expiration, 2005  2018
* 20 Delta Iron Condors with Varying Widths:
* $1, 5, 10 Wide
* Simulated Portfolio Performance with $1 Million Initial Account Value and Allocated 25% of The Capital All The Time
* HeldtoExpiration
We find that the $1 wide iron condors can actually outperform in the short run because of its large variability of returns. However, in the long run, the $10 wide winged iron condor provided the best returns with the least amount of portfolio volatility while the $1 wing IC went bust.
http://feeds.tastytrade.com/media/89012/RES_190228_POD.m4a
Thu, 28 Feb 2019 14:00:00 0600
1358.112

Research Specials LIVE  February 28, 2019  Trade More or Trade Wide?
Trading more contracts and trading wider wings both increase your risk. But which method has performed better over the long run?
###Study:
* SPY, 45 Days to Expiration, 2005  2018
* 20 Delta Iron Condors with Varying Widths:
* $1, 5, 10 Wide...
Trading more contracts and trading wider wings both increase your risk. But which method has performed better over the long run?
###Study:
* SPY, 45 Days to Expiration, 2005  2018
* 20 Delta Iron Condors with Varying Widths:
* $1, 5, 10 Wide
* Simulated Portfolio Performance with $1 Million Initial Account Value and Allocated 25% of The Capital All The Time
* HeldtoExpiration
We find that the $1 wide iron condors can actually outperform in the short run because of its large variability of returns. However, in the long run, the $10 wide winged iron condor provided the best returns with the least amount of portfolio volatility while the $1 wing IC went bust.
http://feeds.tastytrade.com/media/89011/RES_190228_SEG.mp4
Thu, 28 Feb 2019 14:00:00 0600
1146.479

Research Specials LIVE  February 27, 2019  Diving Into Diversification
Options have "inherent diversification" meaning their price changes based on multiple factors besides price of the underlying.
The ways you can diversify between options are :
* Directional Movement
* Time Decay
* Implied Volatility Movement
*...
Options have "inherent diversification" meaning their price changes based on multiple factors besides price of the underlying.
The ways you can diversify between options are :
* Directional Movement
* Time Decay
* Implied Volatility Movement
* Duration
* Direction
* Delta
Stocks on the other hand are only able to be diversified by adding more stocks to the portfolio. This makes options much more effective at diversification than stocks.
http://feeds.tastytrade.com/media/88975/RES_190227_SEG_EDIT.mp4
Wed, 27 Feb 2019 14:06:00 0600
1029.095

Research Specials LIVE  February 27, 2019  Diving Into Diversification
Options have "inherent diversification" meaning their price changes based on multiple factors besides price of the underlying.
The ways you can diversify between options are :
* Directional Movement
* Time Decay
* Implied Volatility Movement
*...
Options have "inherent diversification" meaning their price changes based on multiple factors besides price of the underlying.
The ways you can diversify between options are :
* Directional Movement
* Time Decay
* Implied Volatility Movement
* Duration
* Direction
* Delta
Stocks on the other hand are only able to be diversified by adding more stocks to the portfolio. This makes options much more effective at diversification than stocks.
http://feeds.tastytrade.com/media/88976/RES_190227_POD.m4a
Wed, 27 Feb 2019 14:06:00 0600
1240.728

Research Specials LIVE  February 26, 2019  9 Day Volatility Term Structure
Volatility term structure measures the expectations of future movement a certain number of days in the future. It's an interesting idea, but is it useful as a trade entry metric?
In this episode of Research Specials Live Anton and Michael G. discus...
Volatility term structure measures the expectations of future movement a certain number of days in the future. It's an interesting idea, but is it useful as a trade entry metric?
In this episode of Research Specials Live Anton and Michael G. discuss the usefulness of using the VIX9D index relative to the VIX as a trade entry signal.
To hear more about the calculation of VIX, review Dr. Jim's Skinny on Options: Abstract Applications "Calculating the VIX" from February 25th, 2019.
http://feeds.tastytrade.com/media/88931/RES_190226_POD.m4a
Tue, 26 Feb 2019 13:59:00 0600
1324.776

Research Specials LIVE  February 26, 2019  9 Day Volatility Term Structure
Volatility term structure measures the expectations of future movement a certain number of days in the future. It's an interesting idea, but is it useful as a trade entry metric?
In this episode of Research Specials Live Anton and Michael G. discus...
Volatility term structure measures the expectations of future movement a certain number of days in the future. It's an interesting idea, but is it useful as a trade entry metric?
In this episode of Research Specials Live Anton and Michael G. discuss the usefulness of using the VIX9D index relative to the VIX as a trade entry signal.
To hear more about the calculation of VIX, review Dr. Jim's Skinny on Options: Abstract Applications "Calculating the VIX" from February 25th, 2019.
http://feeds.tastytrade.com/media/88930/RES_190226_SEG.mp4
Tue, 26 Feb 2019 13:59:00 0600
1112.979