Market Measures - March 2, 2021 - Trading Credit to BPR

The tastylive network

English - March 02, 2021 15:34 - 16 minutes - 14.9 MB Video - ★★★★★ - 173 ratings
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The IVR threshold for selling premium can be skewed up or down depending on the IV of the past year. One way to account for this skew is to cross-reference the IV index of an underlying with its IVR. However, not all instruments have an IV index available. Is there another way to account for this skew? Join Tom and Tony as they discuss how to trade short, 16Δ strangles using the credit-to-BPR ratio.