Market Measures

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How IV Impacts Credit

Market Measures

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This Market Measures looks at how much a move in implied volatility (IV) impacts the credit we receive for short premium trades.

The study uses the statistical method of regression to estimate the relationship between IV and credit received.

After performing regression on the data, we can expect our credit to increase 0.056 times the underlying price when IV increases by 1 point.

Tune in as Tom and Tony interpret the results.

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