tastylive logo
Video Player is loading.
Current Time 0:00
Duration 0:00
Loaded: 0%
Stream Type LIVE
Remaining Time 0:00
 
1x
  • Chapters
  • descriptions off, selected
  • captions off, selected
      Market Data provided by CME Group & powered by dxFeed Technology. Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.
      Market Measures

      Currency Volatility and Backtest

      Sep 1, 2016

      We haven’t been employing many of our High Implied Volatility Strategies such as selling premium using Strangles and Straddles because Implied Volatility (IV), IV Rank (IVR) and IV percentile are all at low levels in the equities and their indices. One exception has been in the currencies and the currency ETFs such as the FXE (Euro) and FXY (Yen). How often is IV at elevated levels in FXE and FXY and how do strategies of selling Strangles and Straddles perform?

      Our study was conducted in the FXE and its volatility index EUVIX and the Yen and its volatility index JYVIX using data from from 2008 to the present. We noted how often and how long these currencies were in high IV Rank and IV Percentile. We then backtested selling 16 Delta Strangles and also Straddles using the expiration closest to 45 days to expiration (DTE).

      A results table displayed the percentage of time the Euro and the Yen were over 50 IVR and IVP. The table included the average number of consecutive days over 50 IVR and IVP. The table showed that the Euro is historically more volatile than the Yen, staying above 50% IVR and IVP longer and more often. Tom and Tony also noted how there is some fast volatility contraction which provides opportunity for profits.

      A table comparing selling 16 Delta Strangles in the FXE and the FXY managed at 50% of max profit (if possible) or held to expiration was displayed. The table included the win rate, top 25% P/L, median P/L, bottom 25% P/L and largest loss. The table showed that selling Strangles on the more volatile Euro performed better historically, but came with a more significant largest loss. A second table compared selling 16 Delta Strangles in the FXE and the FXY managed at 50% of max profit (if possible) in all IVR environments versus only high IVR. Similar tables provided the information for the Straddles. The data results were clear.

      Watch this segment of Market Measures with Tom Sosnoff and Tony Battista for the valuable takeaways and the detailed results of our study comparing Short Straddles and Strangles in the Currency ETFs and how managing winners and waiting for high IVR impacts the results.

      This video and its content are provided solely by tastylive, Inc. (“tastylive”) and are for informational and educational purposes only. tastylive was previously known as tastytrade, Inc. (“tastytrade”). This video and its content were created prior to the legal name change of tastylive. As a result, this video may reference tastytrade, its prior legal name.

      More like this

      tastylive content is created, produced, and provided solely by tastylive, Inc. (“tastylive”) and is for informational and educational purposes only. It is not, nor is it intended to be, trading or investment advice or a recommendation that any security, futures contract, digital asset, other product, transaction, or investment strategy is suitable for any person. Trading securities, futures products, and digital assets involve risk and may result in a loss greater than the original amount invested. tastylive, through its content, financial programming or otherwise, does not provide investment or financial advice or make investment recommendations. Investment information provided may not be appropriate for all investors and is provided without respect to individual investor financial sophistication, financial situation, investing time horizon or risk tolerance. tastylive is not in the business of transacting securities trades, nor does it direct client commodity accounts or give commodity trading advice tailored to any particular client’s situation or investment objectives. Supporting documentation for any claims (including claims made on behalf of options programs), comparisons, statistics, or other technical data, if applicable, will be supplied upon request. tastylive is not a licensed financial adviser, registered investment adviser, or a registered broker-dealer.  Options, futures, and futures options are not suitable for all investors.  Prior to trading securities, options, futures, or futures options, please read the applicable risk disclosures, including, but not limited to, the Characteristics and Risks of Standardized Options Disclosure and the Futures and Exchange-Traded Options Risk Disclosure found on tastytrade.com/disclosures.

      tastytrade, Inc. ("tastytrade”) is a registered broker-dealer and member of FINRA, NFA, and SIPC. tastytrade was previously known as tastyworks, Inc. (“tastyworks”). tastytrade offers self-directed brokerage accounts to its customers. tastytrade does not give financial or trading advice, nor does it make investment recommendations. You alone are responsible for making your investment and trading decisions and for evaluating the merits and risks associated with the use of tastytrade’s systems, services or products. tastytrade is a wholly-owned subsidiary of tastylive, Inc.

      tastytrade has entered into a Marketing Agreement with tastylive (“Marketing Agent”) whereby tastytrade pays compensation to Marketing Agent to recommend tastytrade’s brokerage services. The existence of this Marketing Agreement should not be deemed as an endorsement or recommendation of Marketing Agent by tastytrade. tastytrade and Marketing Agent are separate entities with their own products and services. tastylive is the parent company of tastytrade.

      tastycrypto is provided solely by tasty Software Solutions, LLC. tasty Software Solutions, LLC is a separate but affiliate company of tastylive, Inc. Neither tastylive nor any of its affiliates are responsible for the products or services provided by tasty Software Solutions, LLC. Cryptocurrency trading is not suitable for all investors due to the number of risks involved. The value of any cryptocurrency, including digital assets pegged to fiat currency, commodities, or any other asset, may go to zero.

      © copyright 2013 - 2025 tastylive, Inc. All Rights Reserved.  Applicable portions of the Terms of Use on tastylive.com apply.  Reproduction, adaptation, distribution, public display, exhibition for profit, or storage in any electronic storage media in whole or in part is prohibited under penalty of law, provided that you may download tastylive’s podcasts as necessary to view for personal use. tastylive was previously known as tastytrade, Inc. tastylive is a trademark/servicemark owned by tastylive, Inc.