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Market Measures

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Delta and Large Losses

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.

Our past research has shown that the probability of incurring a large loss tends to decrease with IVR for 16Δ SPY strangles.

But how does this probability scale with strangle delta in high IVR?

Join Tom and Tony as they discuss how likely it is for different delta strangles to incur large losses in high IVR.

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