Market Measures - November 3, 2020 - Delta and Large Losses


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Nov 03 2020 14 mins   7
Our past research has shown that the probability of incurring a large loss tends to decrease with IVR for 16Δ SPY strangles. But how does this probability scale with strangle delta in high IVR? Join Tom and Tony as they discuss how likely it is for different delta strangles to incur large losses in high IVR.