Market Measures - April 12, 2021 - Average Outliers in Varying IV

published 3 weeks ago by tastytrade, Inc.

tastytrade reviews how severe outliers are in varying IV environments. As implied volatility rises, the size of your average outlier become less severe as % of initial credit.  The probability of seeing an outlier defined in this study on any given trade stays more or less consistent over all IV environments, around 2% to 3% since 2005.

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