Market Measures - January 13, 2021 - Testing What Happens After IV Spikes
Following a period of VIX expansion or lull, we can adjust our IVR threshold higher or lower since the dynamic of IVR is slightly different.
In this segment, the Research Team tests the actual performance of selling strangles with the adjusted IVR thresholds. We find that the total P/L (average P/L x occurrences) for the year where we adjusted the IVR threshold was higher than if we had just sold when IVR was above 30.