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Market Measures

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Expected Performance: Part 3

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.

Earlier this week, we conducted a study to see what happens to the expected profit % of credit over different delta strangles.

It turned out that the larger delta strangles had a smaller hold % in terms of P/L but had larger raw P/L.

However, in high IV environments, we not only collect more credit, but we also see a larger % of that credit in our P/L on average compared to lower IV rank environments.

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