Market Measures

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IV Rank Ranges

Market Measures

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Today we look at how long implied volatility can remain compressed and does it’s range have any impact on trading? Tune in to hear Tom and Tony discuss IV Rank Ranges!

IV Rank is calculated over a rolling 1 year high and low. In times of low IV, that range can become more compressed and in times of high IV, it can be wider. Historically, we’ve seen the narrowest 1 year IV range become compressed to 5 and the widest IV range expand to 65. Currently, the range is around 7.

This narrow range can persist for extended durations. We’ve seen IV Rank Range remain compressed below 10 for up to 312 days in 1992. How does this effect selling premium?

Tune in to hear Tom and Tony break down the results!

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