Today we take a look at the new Small Exchange Indices: Small Stocks 75, Precious Metals, and Dollar indices. Learn about the symbols, margins, intraday scalping zones, and hedge ratios.

The Research Team takes a deep dive into analyzing the effect of earnings season IV in the S&P 500 compared to non-earnings season IV in the S&P 500.

We find that although individual equities’ IVs increase in earnings season, the indexes and the ETFs remain largely unaffected by the IV spike.

We know that implied volatility builds into an earnings announcement and ‘crushes’ after the news. So can we buy premium then?

Today, Tom and Tony discuss the possibility of buying premium after earnings announcement.

Portfolio diversification spreads investments over many sectors and instruments, reducing the overall amount of industry- and stock-specific risk.

In addition to lowering overall portfolio volatility, diversifying a portfolio also makes it more likely to show positive returns compared to betting on the performance of a single stock.

Tom and Tony show an example of how diversifying a portfolio with elements from the S&P 500 makes the portfolio more likely to perform as well as the market.

The Research Team builds off of Friday’s Market Measures and discusses how adding options to even the most diversified all stock portfolio can reduce overall portfolio volatility by another 30%.

This is due to the inherent diversification present in options since their price depends on underlying movement, time, and volatility.

Since outright stocks do not have multiple components making up their price movements, their diversification potential is limited.

Diversifying a portfolio across sectors and asset classes can significantly reduce industry-/company-specific risks. Over the last six months, how much of an impact could diversification have made to a portfolio of high cap stocks with a high market correlation?

Today we show an example of how adding market-neutral and market-inverse assets to a portfolio of stocks with high market exposure can reduce overall portfolio market correlation and volatility.

Sector ETFs cover a wide spectrum of markets, affording traders diversification within in the equities world. Today Tom and Tony discuss the performances of selling strangles in several sector ETFs.

Our Research Team takes a look at how selling premium after a year of no market action can be dangerous if you do not adjust your IVR threshold higher. The reason?

After a year of market complacency, IVR can be affected by very small movements in IV, thus when IV jumps very small, IVR can overestimate the inflation in IV.

So what do we make our threshold for selling premium after a year where VIX does not breach 20?

As we discussed on Friday, large moves in Implied Volatility will skew IVR to underestimate the current level of IV inflation relative to historical averages.

Today we are going to cover this topic in more detail to determine how likely IV contraction is at some IVR, given whether there were IV outliers in the previous year.

We find that, although selling premium for IVR > 30 is a good rule of thumb on average, this threshold tends to vary in the context of outlier events.

After large spikes in implied volatility, we tend to see IVR understate how inflated implied volatility actually is. In this segment, we show at what level we may accept to sell premium at after large spikes in VIX. Usually, we sell premium when IVR is above 30, but after large spikes in VIX we may adjust that threshold down to 20 or even lower.