Market Measures - July 6, 2020 - Outlier Rank and Delta

published 4 weeks ago by tastytrade, Inc.

We have recently been testing whether “Outlier Rank” (OR) is an effective way to estimate exposure to outlier risk at a given IV level. Our research has shown that trading 16Δ SPY strangles with low OR and high IVR increases average P/L and decreas...

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