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ETF Correlation and Options Performance Analysis
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Manage episode 504657972 series 167564
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Hosts Liz and Jenny analyzed sector ETF correlations and options performance, discovering that popular sector ETFs show remarkably low correlation with each other (mostly near zero), making them effective diversification tools. The study examined XLE (energy), XLK (technology), XLF (financial), XLV (healthcare), and XLU (utilities), finding that financials demonstrated the strongest intersector correlation while utilities showed the weakest due to interest rate sensitivity. Testing 45 DTE, 16 Delta strangles across all sectors revealed consistently high success rates (72-84%) that exceeded theoretical expectations and closely matched SPY performance. The research reinforced the strategy of trading ETF baskets when individual stock IVR drops, as premium levels showed weak correlation with success rates, suggesting sector fundamentals matter more than volatility pricing for strangle performance.
…
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91 episodes
MP4•Episode home
Manage episode 504657972 series 167564
Content provided by tastylive. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by tastylive or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://podcastplayer.com/legal.
Hosts Liz and Jenny analyzed sector ETF correlations and options performance, discovering that popular sector ETFs show remarkably low correlation with each other (mostly near zero), making them effective diversification tools. The study examined XLE (energy), XLK (technology), XLF (financial), XLV (healthcare), and XLU (utilities), finding that financials demonstrated the strongest intersector correlation while utilities showed the weakest due to interest rate sensitivity. Testing 45 DTE, 16 Delta strangles across all sectors revealed consistently high success rates (72-84%) that exceeded theoretical expectations and closely matched SPY performance. The research reinforced the strategy of trading ETF baskets when individual stock IVR drops, as premium levels showed weak correlation with success rates, suggesting sector fundamentals matter more than volatility pricing for strangle performance.
…
continue reading
91 episodes
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