The LIZ and JNY Show - November 21, 2025 - The LIZ and JNY Show:OTM Options Pricing: The Volatility Truth
Update: 2025-11-21
Description
Volatility and Delta: Insights Amid Market Turbulence
In a high-volatility trading session, TP and Liz Deerking discussed key market dynamics affecting options pricing. With the VIX at 26.5, they analyzed how out-of-the-money options have become disproportionately expensive, affecting iron condor credit potential.
TP explained that while IV rank is important, absolute premium values matter more - "I pay my bills with dollars, not percents." He noted that far OTM options were trading 25-30 cents higher than days prior, showing market makers pricing in tail risk.
The duo explored how delta predictions break down near expiration, especially for at-the-money options, noting that gamma creates delta instability in short-dated options. TP shared his trading approach amid recent market swings: "You have to keep watering the account. If you have a losing day, I'm at it again today."
They also discussed how the probability of a Fed rate cut jumped from 40% to 74% overnight, potentially supporting the market rebound.
In a high-volatility trading session, TP and Liz Deerking discussed key market dynamics affecting options pricing. With the VIX at 26.5, they analyzed how out-of-the-money options have become disproportionately expensive, affecting iron condor credit potential.
TP explained that while IV rank is important, absolute premium values matter more - "I pay my bills with dollars, not percents." He noted that far OTM options were trading 25-30 cents higher than days prior, showing market makers pricing in tail risk.
The duo explored how delta predictions break down near expiration, especially for at-the-money options, noting that gamma creates delta instability in short-dated options. TP shared his trading approach amid recent market swings: "You have to keep watering the account. If you have a losing day, I'm at it again today."
They also discussed how the probability of a Fed rate cut jumped from 40% to 74% overnight, potentially supporting the market rebound.
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