Research Specials LIVE

Volatility Reversion: Mean or Mode

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.

Beef, Brick, and Frank revisit some recent work on volatility reversion.

They debate the merits of saying that implied volatility is mode reverting vs mean reverting.

Frank explains the math that goes into calculating each number and what each represents with regards to historical data.

Ultimately they explain that whether IV is mean or mode reverting, we focus on implied volatility rank, our benchmark for where implied volatility currently sits relative to its historical values.

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