Options Jive - March 9, 2021 - The Frequency of the Infrequent

Published: March 9, 2021, 2:32 p.m.

We often hear that behavior in the market exhibits “fat tails,” i.e. large moves occur more often than the implied volatility says they should. Today, Tom and Tony dive into the data to see exactly how fat these tails are and how that information should be applied to a trading portfolio.