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Jade Lizards in 2017

Market Measures

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2017 has been a strangely low year for implied volatility.

This has been felt with low credits for many of our classic short premium strategies.

But what about strike selection for trades that have specific credit parameters?

Jade Lizards make a great candidate for this study as they require a certain amount of credit to cover the short call spread.

The team investigated 1pt and 2pt wide Jade Lizard trades and tracked the distance of the short call and short put from the underlying price.

Intuition proved right in the results, as 2017 has seen the lowest strike distances in the last decade.

Tune in for Tom and Tony's full analysis!

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