Market Measures - March 29, 2021 - What is an Average IV Crush?

published 3 weeks ago by tastytrade, Inc.

When implied volatility expands, it eventually mean reverts and contracts to its long term average of around 20.  The higher IV expands, the faster it falls over time.  The rate of decline is exponential as IV climbs an example, it takes just 4 days for IV to decline 20% if VIX is at 70, but up to 40 days if it’s at 30.

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