We generally say that IVR over 50 is considered high. However, with current market volatility near the lows, it can be difficult to find these “high” IV Rank trades.
Can we adjust our threshold for what is considered high IVR?
We find that although you do get a higher average P/L by selling in higher IVR environments, the number of high IVR occurrences is lower. This means that you should capitalize on high IVR occurrences but not sit on the sidelines when IVR is low because you also miss out on many profitable occurrences.
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