spy iv very low, iwm medium (fair?) relative to realized
- Thread starter tooriginal
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Matt_ORATS
Sponsor
If you look at HV 20 day Parkinson divided by IV 30 day for today:
Date SPYhv/iv IWMhv/iv
11/17/2023 1.18% 1.25%
I would say that is -7% of negative edge.
I have backtests back to 2018 of the SPY long straddle and the IWM iron condor above.
Using our tool you can find those and download the daily returns.
Using our API I downloaded the historical IVs and HVs. This all took 10 minutes.
I would only trade when the difference was in my favor at least 1 stdev.
The stdev of the difference above, the SPYhv/iv-IWMhv/iv is 13%, so I would only model that trade when the SPY > IWM by 13%. SPYhv/iv > IWMhv/iv 228 days since 2018. If you were to trade your set up, the return is -0.005%.
Date SPYhv/iv IWMhv/iv
11/17/2023 1.18% 1.25%
I would say that is -7% of negative edge.
I have backtests back to 2018 of the SPY long straddle and the IWM iron condor above.
Using our tool you can find those and download the daily returns.
Using our API I downloaded the historical IVs and HVs. This all took 10 minutes.
I would only trade when the difference was in my favor at least 1 stdev.
The stdev of the difference above, the SPYhv/iv-IWMhv/iv is 13%, so I would only model that trade when the SPY > IWM by 13%. SPYhv/iv > IWMhv/iv 228 days since 2018. If you were to trade your set up, the return is -0.005%.
1 trade does not a thesis prove, but entered in smallest allocation to test
winning on both, not expected.
winning on both, not expected.