Market Measures - July 19, 2021 - Volatility Then and Now

published 1 week ago by tastytrade, Inc.

Long term averages may be useful for context, but getting a realistic sense of “high IV” depends on what’s been happening recently. This is why we make use of IV Rank, a metric that takes into account only the last year’s worth of implied volatility values. The average (and median to an extent) tells you the “typical” magnitude of value to expect over time, whereas the top and bottom 5% of values give you a sense of how large outliers can be.

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