Biotechnology implied volatility and skew rises

Dec. 2, 2016

Options Backtesting Results

Historical average return: +$658.08 (backtested over 10.8 years)
Historical success probability: 91.5%


XBI implied volatility has risen to the 85th percentile and put skew is above the median. Options backtesting of this particular sold put shows a 0.50 Sharpe ratio, an attractive opportunity for longs comfortable adding more exposure at lower prices.

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