Wednesday, June 1, 2016

Diversify portfolio using uncorrelated underlyings. In this case, if we are selling strangles with 30 delta, putting on uncorrelated strangles can reduce risk.  


This is a good chart of the uncorrelated products. We could sell strangles of Apple and WMT as a pair trade to reduce correlation risk. One thing to remember is that we want to sell strangles when there is high implied volatility rank.





1 comments:

Rebecca D. McNeely said...

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