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Calculating IVR

From Theory To Practice

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When you begin to trade the tastytrade way, you quickly realize that one of our core principles is found in monitoring an underlying’s “Implied Volatility Rank”, or IVR. We already know that it is far more valuable to analyze volatility in a forward-looking sense, rather than a backward-looking one. That being said, an IVR does look at historical measurements, but only in so much as how they captured expectations of future volatility. Today, James joins us for a discussion about how we intuitively calculate this metric, and he brings with him a couple of extra slides to extend our IVR understanding and hammer home the point.

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