0:00

11:32

NASDAQ’s price and IV have become much less inversely correlated over the last three months...dropping from its long term correlation of -0.75 to a much weaker -0.42.

Compared to the last ten years, the last three months have observed roughly twice the probability (on daily and weekly intervals) where both the NASDAQ and its IV go up together.

## Flere episoder fra "tastytrade Market Measures"

### Testing Multiple Occurrences

12:25

How does maximizing occurrences level out risk in a portfolio? Maximizing the number of occurrences brings total results closer to what is expected statistically. This leads to greater consistency in both P/L and win rates. tastytrade explains with a 15 year analysis.### Intraday Reversals

8:31

The chance of a complete reversal in the market after a 2% or greater daily move in either direction is just 1% (over 20 years). The chance of a reversal after a selloff is twice as likely as a reversal after a rally of the same size. Since the chance of a 2%+ close is 9%, and the chance of a 2%+ move and reversal that same day is 1%, then for every nine 2%+ closes, expect to see one 2%+ move followed by a reversal. Tune in as Tom and Tony utilize this information, applying it to recent market activity.### IV Sensitivity

9:38

Yesterday SPY dropped by roughly 3.8% and the VIX spiked by nearly 32%. However, when SPY dropped by 3.3% in late February, the VIX spiked by 47%. And when SPY dropped by 3.3% in early March, the VIX only jumped by 24%. Since IV tends to be highly inversely correlated with the underlying, we expect movements in the underlying to inversely scale with movements in IV the majority of the time. However, movements in IV are highly dependent on market context, and today Tom and Tony are going to explore that in more detail.### IV and Direction

11:32

NASDAQ’s price and IV have become much less inversely correlated over the last three months...dropping from its long term correlation of -0.75 to a much weaker -0.42. Compared to the last ten years, the last three months have observed roughly twice the probability (on daily and weekly intervals) where both the NASDAQ and its IV go up together.### A Bit About Bitcoin

12:33

Soon a selection of cryptocurrencies will be available on the tastyworks platform. Today we will dive into some statistics around one of the most popular cryptocurrencies, Bitcoin (BTC). Join Tom and Tony as they look at correlations, historical volatilities, and the ideal ratio of BTC to SPY for gaining BTC exposure with minimal portfolio volatility.### 2 Standard Deviation Reversal

8:35

Since this March, we have seen an increasing number of underlyings that have one-sided movement. So, we may wonder how often and how quickly should we expect to see reversals after these extreme moves? Tom and Tony examine a study done by the Research Team to see how common these occurrences can be. Tune in to see how duration can impact the results.### Stock Splits and Price

10:24

Contrary to popular belief, in AAPL’s case, stock splits do not at all provide any indication of future performance. Any post-split performance that deviates from the stock’s long term average cannot be immediately attributed to split unless there are a). a lot of split occurrences and b). a statistically significant deviation from its average (at least two standard deviations). In AAPL’s case, there was neither.### Theta of Risk-Defined Strategies

10:35

Premium sellers prefer to collect theta, but with risk-defined trades, we can sometimes experience negative theta. Today, Tom and Tony discuss the theta of Iron Condors with various wings and its impact on P/L.### Market Outliers

12:44

The day of the first outlier move experienced in the market, expect to have a loss that is roughly 15% of the total credit received of your strangle. However, on average, trades that had outlier price moves in the underlying were more profitable because outliers tend to cluster, and thus options become priced to anticipate more outliers. The key is to stay small before the first outlier move (when IV is low) in order to take advantage of the higher premiums that follow.### Long Term Strategy Correlation

15:20

Compared to equities, options are subject to additional risk factors (e.g. IV, time decay) that add diversity to equity portfolios. However, in the long term how correlated are actively managed strategies with regards to one another? Today Tom and Tony look at the long term correlation between option strategies to learn more about diversifying option portfolios.

Få adgang til hele det store podcastunivers med gratisappen GetPodcast.

Abonnér på dine favoritpodcasts, lyt til episoder offline, og få spændende anbefalinger.