Market Measures

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Intraday IV Lows

Market Measures

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Last week, the Research Team looked at intraday highs in implied volatility and implied volatility rank. They concluded that the highs in IVR often do not occur at the end of the day, meaning there could be more opportunity to sell premium if traders stay active throughout the day. Does the opposite hold true, that IV lows are often not the closing value of the day?

The Study

Using the S&P 500 Volatility Index (VIX) from 1992 - Present, our team compared and analyzed:

  • Closing Values
  • Low Values
  • Occurrences where VIX closed on or near it’s low
  • Average lows and closes in recent history
The Results

The VIX does close at or near it's lows more often than at or near its highs. However 25% of occurrences still had a minimum of 4.4% difference between the low and close. This means that there are often days where the closing IV value doesn't represent the low point of the day. This translates to more potential opportunity to manage short premium trades for a profit.

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