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 research has shown that trading 16Δ SPY strangles with low OR and high IVR increases average P/L and decreases P/L volatility; however, what about strangles with different deltas? Today we show whether supplementing high IVR with low OR can improve profitability and reduce volatility for SPY strangles of different deltas.

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 research has shown that trading 16Δ SPY strangles with low OR and high IVR increases average P/L and decreases P/L volatility; however, what about strangles with different deltas? Today we show whether supplementing high IVR with low OR can improve profitability and reduce volatility for SPY strangles of different deltas.

Outlier Rank and Delta

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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Outlier Rank and Delta

Outlier Rank and Delta