Market Measures

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IVR Expectations After Outliers

Market Measures

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After large spikes in implied volatility,, we tend to see IVR understate how inflated implied volatility actually is.

In this segment, we show at what level we may accept to sell premium at after large spikes in VIX.

Usually, we sell premium when IVR is above 30, but after large spikes in VIX we may adjust that threshold down to 20 or even lower.

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