Market Measures - October 28, 2020 - Context Around Expected Moves


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Oct 28 2020 8 mins   9
Historically, actual moves understate our average breakevens on a 16 delta strangle in all Implied Volatility Rank (IVR) environments. In periods of high IVR, actual price moves are even more understated compared to the breakevens on 16 delta strangles. Tune in as Tom and Tony dissect this study and how we apply it to options trading strategies.