Market Measures - September 2, 2021 - Drawdowns on a 45-day Cycle

published 2 weeks ago by tastytrade, Inc.

tastytrade often looks at trading 45-day cycles and continually putting on new positions in the next cycle. Within these cycles however, what kind of drawdowns can we expect? Median drawdowns vary across ETFs, but as the size of historical drawdowns increase, so do the current implied volatilities.Implied volatility allows traders to get a good estimate about what kind of moves the market is expecting, but more often than not, the expectations are less than the actual move.

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