Quantifying the outlier risk for an option is tricky, but one method is to relate it to the total amount of capital at risk when placing a trade. When we use metrics that are based on past data (e.g. probability of loss worse than -2x initial credit, CVaR), we are averaging over a range of market conditions and volatility environments. This makes it difficult to get an idea of outlier risk on a trade-by-trade basis. Join Tom and Tony as they discuss defining option outlier risk in more detail.