In 2017, market implied volatility sat at or near historic lows. In the past 2 weeks we’ve seen volatility spike. How does this spike change thepicture moving forward?
The team set out to contextualize the currentnumbers in the market relative to recent highs and 2017 lows. These metrics are used to calculate an Implied Volatility Rank. Now that we have seen a recent increase in volatility, we see a more standardized range off which we calculate IVR.
The team then quantified what VIX level would correspond to given IVR levels and what an SPYwould theoretically trade for given that volatility.
Tune in for Tom and Tony's full discussion of the new volatility picture of 2018.