Market Measures - January 19, 2021 - Initial Credits and Large Price Moves
SPY option prices tend to change significantly when SPY has a large move, but the magnitude of response will differ depending on the current IV.
At different VIX levels, how much do the credits for SPY strangles change in response to a large SPY up day/down day?
Join Tom and Tony as they discuss changes in strangle initial credit due to large moves in the underlying.