Market Measures

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Implied Volatility Rank: Fading the Outliers

Market Measures

In the 4 major stock indices and index ETFs, we typically witness high IV Rank in all 4 at the same time. However, the Nasdaq has recently exhibited higher IVR, while the others remained low.

Does this occur often? Our Research Team looked at past data to determine the frequency of rich IVR in only one ETF.

Analysis
  • SPY, IWM, QQQ, DIA
  • 2005-Present
  • Calculated IVR data
  • Observed occurrences where 1 Index was above 50 IVR while any or all of the other indices were below 25
Results
  • Recently, the Nasdaq has exhibited substantially higher IVR than the other 3 indices
  • This is an unusual phenomenon that has not occurred too often over the past 12 years

To learn how to incorporate this information into order entry and strategy selection, tune in to the segment.

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