IVR does not take into account how much exposure there is to outlier risk at a given IV level, so last week we introduced a concept called OR (Outlier Rank).

Outlier Rank is a way to estimate how often IV has understated an asset's returns in the past month relative to its long term average.

Last week, we found that trading in high IVR/low OR environments may give strangle traders a profit edge.

Today we investigate if trading in high IVR/high OR environments (assuming "returns volatility reversion") is also more profitable than conventional trading strategies.