Market Measures

BPR Efficient Strikes and IVR

| May 9, 2023
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    Market Measures

    BPR Efficient Strikes and IVR

    May 9, 2023
    Due to a quirk of the regulatory formula, the lowest BPR for a strangle is typically with strikes 10% OTM. This formula takes neither volatility nor duration into account and results in lopsided strangles based on volatility skew. Still, low BPR can be attractive to smaller accounts looking to get into undefined risk trades. Today, Tom and Tony look at the data to see what performance can be expected from trading strangles with minimal buying power requirements.

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