We Ranked The Worst Iron Condors and Strangle Losses to Learn This | Market Measures
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- Опубликовано: 13 июл 2024
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For the guys ranting about why they do not even mention the definition of cvar, Cvar = average return(=loss) after preset threshold. So if you say your CVar is 400% at 5% cutoff it means you lose -400% of initial credit on average if shit already hit the fan and you are deep in your bottom 5% worst cases and just do nothing.
A more useful way of using CVar in volatility selling is that you have to divide your sample of returns into at least 3 different volatility regimes (high iv / mid iv / low iv) and compute Cvar of each regime. In this low vol regime that is the market right now Cvar must be higher than those numbers and subsequently less money be at stake...
As Tom said at 4:45, this is def heavy but for someone who has been listening and following Tasty mechanics for I'd say 2 - 4 year (intermediate level?) this type of data and info is VERY interesting and I can see how this could be used supplement ones decision making as we trade.
Definitely not noob friendly but valuable to those who already understand the basics.
Great work.
Looking at those numbers why wouldn't we be trading straddles more? Straddles to expiration has less outlier risk than strangles to 21 days.
@@Tary88 Because adjusting them is a PitA. You have no room but to go inverted or out in time. Strangles are better at management.
Remember this is percentage of loss based on credit received
I need a video that explains this video.
I will explain later.
@@nevinkuser9892 i will watch later
Lol
In essence they tried to explain why using parameter 0.05 or 5% is the best way to use cvar.
I honestly feel like have 5, 10 and 25% cvars together would tell you way more about the trade risk than simply just 5%.
Since it can tell you about moderate risks aswell and not just the extreme ones. That means you have more knowledge on when to correctly roll your trades, when they are tested aswell.
I hope they add those too tbh
Thank you so much for sharing this type of data analysis in options. Even though I may not understand it all right now, I am extremely thankful that there are people like you guys who do these kinds of deep dives to understand things better. This type of analysis is so useful and one day it should all make more sense to me. Thanks for all that you guys do.
where is CVaR located in the platform?
I don't understand what CVaR is, nor how one would pick a 5% CVaR.
It calculates the trades that end in a loss. The percentages is how bad of a loss. CVaR 5% is the worst 5% of losses. It gives you a better idea of the true risk of a position on entry as opposed to using BPR
Have I been living under a Rock? What happened to the “Last Call”? Anyone?
make the videos 1080p
Been following you guys the past 2-3 years, watching almost all your videos....this one is the one that i totally Blank... wth are you guys talking about.
🤔🧐😳
Conditional Value at Risk (CVaR), also known as the expected shortfall, is a risk assessment measure that quantifies the amount of tail risk an investment portfolio has.