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Strategy Correlation and IV

Options Jive

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 yesterday’s Market Measure on Long Term Strategy Correlation, we saw the P/Ls of early managed SPY iron condors and strangles have been highly correlated over the past 10 years.

How does this relationship change in different IV environments?

For SPY options, the correlation of these strategies is minimized when the VIX is between 30 and 40, but there is no IV environment where this correlation is weak.

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