Market Measures - February 2, 2021 - IVR and Recovery Probability
For 16Δ SPY strangles, the probability of a P/L flip prior to 21 DTE drops to roughly 50% once the position has incurred a loss of -50% the initial credit or greater.How does this loss threshold change with IVR? During periods of high market volatility and large P/L swings, should loss tolerances be more liberal or more conservative? Join Tom and Tony as they determine how recovery probabilities change with IVR.