Market Measures - April 19, 2021 - Should We Sell Premium in Low IV?

published 3 weeks ago by tastytrade, Inc.

tastytrade looks at profitability metrics for short strangles when implied volatility was low. Since 2005, short strangles were profitable, on average, regardless if IVR was high or low.  However, the two major differences between selling strangles in high and low IVR is the propensity for a larger outlier loss and lower average P/L that tend to happen in lower IVR environments.

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