Market Measures - January 9, 2023 - Adjusting Delta When IV Falls

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English - January 09, 2023 19:24 - 6 minutes - 5.66 MB Video - ★★★★★ - 173 ratings
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Changing the delta on your short premium when IV goes up or down can help stabilize a portfolio’s exposure since all deltas are affected similarly by changes in IV.

Increasing the delta of a strangle can substitute for the lack of high IV, but there is less opportunity to be had on average, so scaling up the short delta strikes did not improve your P/L (at least in this study).