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Market Measures

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IVR Distributions

Market Measures

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In yesterday’s Market Measure on volatility, we discussed how volatility is autocorrelated at certain levels and how outlier moves will either tend to the upside or downside depending on the current volatility. Since we trade according to IVR and IVR tends to be much more volatile than raw volatility, let’s apply the same analysis to volatility rank.

Today Tom and Tony will analyze the distributions for daily changes in IVR and compare them to equivalent raw IV distributions.

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