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.

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.

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 &amp; low OR environments; however, how does OR affect trade volatility? Today we will analyze PNL volatility for this max average PNL method of trading.

Outlier Rank and PNL Volatility

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 PNL Volatility

Outlier Rank and PNL Volatility