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Market Measures

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IVR Expectations After Lull

Market Measures

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Our Research Team takes a look at how selling premium after a year of no market action can be dangerous if you do not adjust your IVR threshold higher. The reason?

After a year of market complacency, IVR can be affected by very small movements in IV, thus when IV jumps very small, IVR can overestimate the inflation in IV.

So what do we make our threshold for selling premium after a year where VIX does not breach 20?

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