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Market Measures

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Volatility Sensitivity

Market Measures

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

Premium sellers are subject to numerous sources of risk, including potential losses from changes in IV of the underlying.

This is especially of interest now, as IV is still elevated from this recent selloff and prone to large moves.

Today we discuss how to quantify this risk from volatility-sensitivity and how problematic it may be to premium sellers in high IV environments.

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