Market Measures - September 10, 2021 - Higher Risk, Higher Reward

published 1 week ago by tastytrade, Inc.

Selling strangles has been, on average, profitable in all IV environments. However, lower IV periods tend to be less profitable because credits are lower and the P/L % of credit is lower. Based on the results from the backtest in this study, the average dollar P/L of a SPY strangle could be 4x to 5x higher when the VIX is above 20, compared to lower IVs when normalizing for strangle delta and price of the underlying.

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