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Market Measures

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CVaR For Different Strangles

Market Measures

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

In last week’s Skinny on Quantitative Finance, we introduced Conditional Value at Risk (CVaR).

This metric can be used as an estimate for the expected loss of a portfolio/position at a given likelihood level and can be used to model losses in extreme cases.

Join Tom and Tony as they look at some CVaR calculations for different types of early-managed SPY strangles.

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