great question and not a noob one. sigma represents the measure of variance within our dataset. That is, sigma describes range of certainty to which we can expect the data to be populated in our dataset. We can expect 68% of the data to fall within 1 sigma etc. 1 sigma = 68% 2 sigma = 95% 3 sigma = 99.7% So, when i say sell the 2 sigma tails i'm identifying the put and call which should expire OTM 95% of the time given the history of SPY with current and projected volatility levels. Don't worry most brokers offer this data to you for free and you can just leverage the delta as a guide. That is, if a put has a delta of -0.05, it will more or less = 5% probability that the contract will become profitable at expiration. Hope this makes sense.
@QuantTrader8 Hello, could I get the definition of "sigma tails". Sorry for the noob question. Thanks for your trading plans, I study them for DD every day.
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