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Actual markets are often much messier than their theoretical counterparts, as indicated by concepts such as skew. Underlyings with skewed price distributions often deviate from Black-Scholes estimates. So today, let’s look at how breach distanc
Actual markets are often much messier than their theoretical counterparts, as indicated by concepts such as skew. Underlyings with skewed price distributions often deviate from Black-Scholes estimates. So today, let’s look at how breach distanc
To get an expectation of portfolio buying power allocation over time, the historical IV numbers coupled with our targets resulted in an average allocation of 31% of your portfolio net liq.However, since volatility tends to cluster in certain ra
To get an expectation of portfolio buying power allocation over time, the historical IV numbers coupled with our targets resulted in an average allocation of 31% of your portfolio net liq.However, since volatility tends to cluster in certain ra
We rely on probabilities when deciding what trades to put on and when to manage them. While these probabilities might bear out in the long term, year to year we expect some variation. Today, Jacob joins Mike and Nick to examine how the realized
We rely on probabilities when deciding what trades to put on and when to manage them. While these probabilities might bear out in the long term, year to year we expect some variation. Today, Jacob joins Mike and Nick to examine how the realized
At tasty we generally don’t make assumptions around price reversion, but what about following a significant selloff? Today we’re going to take a deeper look at 52-week lows and determine if it can be used as a trading indicator. Join Tom and To
At tasty we generally don’t make assumptions around price reversion, but what about following a significant selloff? Today we’re going to take a deeper look at 52-week lows and determine if it can be used as a trading indicator. Join Tom and To
By observing the average monthly returns following a month of a strong rally, it looks like there is a “trend” where a sharp up-move implied some continuation.However, these high average returns come with even higher standard deviations, meanin
By observing the average monthly returns following a month of a strong rally, it looks like there is a “trend” where a sharp up-move implied some continuation.However, these high average returns come with even higher standard deviations, meanin
An index is a fund composed of a collection of stocks; naturally, the volatility of those stocks increases the volatility of the fund. Often however, the constituents will move in different directions, resulting in lower index volatility. By pa
An index is a fund composed of a collection of stocks; naturally, the volatility of those stocks increases the volatility of the fund. Often however, the constituents will move in different directions, resulting in lower index volatility. By pa
Since roughly a third of all 16 delta strangles saw at least one breach throughout the 45-day cycle, knowing how to use a defensive tactic like rolling will often come into use. Rolling the untested side reduces delta exposure, increases net cr
Since roughly a third of all 16 delta strangles saw at least one breach throughout the 45-day cycle, knowing how to use a defensive tactic like rolling will often come into use. Rolling the untested side reduces delta exposure, increases net cr
Since 1987, volatility skew has been the market's way of anticipating large downside moves. Delta neutral premium sellers must therefore place put strikes further OTM than call strikes. Today, Anton and Tony explore how much further they should
Since 1987, volatility skew has been the market's way of anticipating large downside moves. Delta neutral premium sellers must therefore place put strikes further OTM than call strikes. Today, Anton and Tony explore how much further they should
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