Market Measures - June 28, 2021 - Differences In Equity Index IVs

published 1 month ago by tastytrade, Inc.

The increase in the Russell’s implied volatility relative to other equity indices seems quite rich in comparison to what it was before 2020. In reality, the reason for the larger raw IV point premium that exists for IWM IV is due to the following reasons: Both SPY and IWM are experiencing higher HV (historical volatility) than before 2020. IWM has seen 40% larger HV than SPY over the last year compared to just 30% larger HV than SPY before 2020.

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