Market Measures - September 4, 2020 - IV Sensitivity

published 3 weeks ago by tastytrade, Inc.

Yesterday SPY dropped by roughly 3.8% and the VIX spiked by nearly 32%. However, when SPY dropped by 3.3% in late February, the VIX spiked by 47%. And when SPY dropped by 3.3% in early March, the VIX only jumped by 24%. Since IV tends to be ...

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