Market Measures

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Mixed Strategies

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.

When market uncertainty is high, is it better to switch to defined risk strategies in lieu of undefined risk strategies?

Today we compare the PNL, alpha and beta of two strategies: 1. only investing in strangles 2. investing in strangles for IVR < 30 and iron condors for IVR > 30.

Our research has found that switching to defined risk strategies when IVR > 30 makes minimal reductions to market exposure and significantly reduces alpha and daily average PNL per contract.

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