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Market Measures - April 25, 2024 - How Much Does IVR Affect Daily Ranges
Manage episode 414577750 series 68544
Anton Kulikov, Tom Sosnoff, and Tony Battista discuss dynamics of Implied Volatility Rank (IVR) and its effect on the estimation of daily stock moves, particularly in relation to option trading strategies. Using data from 2006 to present, they examine how IVR influences the expected daily price moves of indices such as the S&P 500 Index (SPI), QQQ Trust (QQQ), and iShares Russell 2000 ETF (IWM). The conversation highlighted that IVR serves as a critical gauge for traders, especially when determining the premium levels in options trading. It was revealed that higher IVR levels correlate with increased daily percentage moves, offering a predictive insight into market volatility. This insight assists traders in optimizing their strategies by selling premium when IVR is high, based on the anticipation of larger market moves.
851 episodes
Manage episode 414577750 series 68544
Anton Kulikov, Tom Sosnoff, and Tony Battista discuss dynamics of Implied Volatility Rank (IVR) and its effect on the estimation of daily stock moves, particularly in relation to option trading strategies. Using data from 2006 to present, they examine how IVR influences the expected daily price moves of indices such as the S&P 500 Index (SPI), QQQ Trust (QQQ), and iShares Russell 2000 ETF (IWM). The conversation highlighted that IVR serves as a critical gauge for traders, especially when determining the premium levels in options trading. It was revealed that higher IVR levels correlate with increased daily percentage moves, offering a predictive insight into market volatility. This insight assists traders in optimizing their strategies by selling premium when IVR is high, based on the anticipation of larger market moves.
851 episodes
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