What is IV?

Discussion in 'Options' started by morganpbrown, Sep 16, 2021.

  1. taowave

    taowave

    Look at Market Chameleon Charts..

    You are looking at skew in a very low vol environment.Its different in a high vol environment.

    I'll try and find the paper I have on Skew and post it






     
    #101     Sep 18, 2021
    morganpbrown likes this.

  2. I do use them sometimes for IV percentile. Do you find that the for-fee features are any good?
     
    #102     Sep 18, 2021
  3. GotherL

    GotherL

    Basically, the bigger the move the market expects in one day the higher the IV. (This is just a lazy explanation.)

    GME SPRT ATER BBIG some past examples.
     
    #103     Sep 18, 2021
  4. The "lazy explanation" can be incredibly profound. And much more effective to understanding and implementation.

    Trading (and implied IV) is like love and relationships...the more you try to analyze it, and break it down to each molecule, the more the concept seems to disintegrate.
     
    Last edited: Sep 18, 2021
    #104     Sep 18, 2021
  5. MrMuppet

    MrMuppet

    That's easy to answer.
    For directional trading you want to use the option that provides the highest possible gamma per unit of theta. IV is negligible in very short term options, they are gamma plays for the most part.

    As short term options IV is heavily skewed, you will find that these options are almost always the ATMs.
     
    #105     Sep 18, 2021
  6. MrMuppet

    MrMuppet

    As IV is mean reverting you will find that during periods of low realized volatility, short term IV trades below long term IV and vice versa.

    It's quite intuitive when you think about it. Volatility is calculated as an average of daily returns. When you take a rolling 10 day average, there will be 10 day periods where nothing happens so volatility is very low. During periods of high realized vol, the 10 day average only consists of large average returns which makes the average spike up.

    There are more high and low daily returns in a 180 day average which smoothes out the result. So the 180 day vol doesn't move as much as the 10 day vol
     
    #106     Sep 18, 2021
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  7. zghorner

    zghorner

    http://web.math.ku.dk/~rolf/SABR.pdf

    ^ that it by chance?
     
    #107     Sep 18, 2021
  8. taowave

    taowave

  9. taowave

    taowave

    They are decent,certainly the best out there for free..

    I prefer Orats as there is much more flexibility in ther charting of IV


     
    #109     Sep 18, 2021
  10. ondafringe

    ondafringe

    That is fascinating and appears to be the missing link for day trades. Thank you for taking the time to write all this up.
     
    #110     Sep 18, 2021
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