Artwork

Content provided by tastylive. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by tastylive or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://player.fm/legal.
Player FM - Podcast App
Go offline with the Player FM app!

Market Measures - April 25, 2024 - How Much Does IVR Affect Daily Ranges

13:44
 
Share
 

Manage episode 414577750 series 68544
Content provided by tastylive. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by tastylive or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://player.fm/legal.

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.

  continue reading

851 episodes

Artwork
iconShare
 
Manage episode 414577750 series 68544
Content provided by tastylive. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by tastylive or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://player.fm/legal.

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.

  continue reading

851 episodes

All episodes

×
 
Loading …

Welcome to Player FM!

Player FM is scanning the web for high-quality podcasts for you to enjoy right now. It's the best podcast app and works on Android, iPhone, and the web. Signup to sync subscriptions across devices.

 

Quick Reference Guide