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Research Specials LIVE

How Often is IV Rank High?

Research Specials LIVE

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

Brick, Beef and Kai analyze how rich option premium is in US Equity ETFs compared to international ETFs, commodities, currencies and single stocks.

Since we’re in such a low IV environment and selling premium works best in high IV, we thought it might be a good idea to look at how often these high IV opportunities come around. Usually we define high IV by IV Rank. IV Rank is a measure of where the stock’s current IV is relative to the last year’s high and low.

Today we took a deep dive into how often we have IVR occurrences over 50 and 75 and then looked at how long it took to revert back below that level. For this study we looked at 18 different underlying’s looking for high IVR, the broader categories included US Equity, International Equity, Commodities, Currencies, and Single Stocks. Be Sure to tune in to hear the team break down these results!

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