We have recently been testing whether “Outlier Rank” (OR) is an effective way to estimate exposure to outlier risk at a given IV level.
Our recent studies on trading SPY strangles have shown that average PNL is maximized when trading in high IVR & low OR environments; however, how does OR affect trade volatility?
Today we will analyze PNL volatility for this max average PNL method of trading.
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It's not always easy to take the measure of a market, whether you've been trading for a day or a decade. On this segment we look under the hood—options probabilities, volatility, trading strategies, futures, you name it—so your trading mechanics are built to manage more winners.
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