tasty Extras

IV and IVR Skew

tasty Extras

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

IVR is a great way to put context around the IV of an instrument; however using IVR alone can be misleading.

We have previously shown that the annual volatility history of an underlying can skew IVR to overestimate or underestimate the IV inflation of that underlying.

Today we show some examples of IVR skew and how looking at IV in addition to IVR can give a more complete picture.

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