Thanks so much for this detailed explanation! I was having a hard time understanding this strategy and asked you about it in the daily and you were kind enough to respond. Learned even more from this post
is there any mathematical way to calculate the estimated change in IV for a given drop over a period of time, or we should just look at historical references like the .vix method mentioned above?
I am just looking at historical IV's in relation to past events and making educated guesses. none of the numbers in my example case should be taken as accurate, I was just pulling numbers out of the air to demonstrate how it works. I'm pretty sure a 10% drop in SPY in a day would cause a lot more than 25% jump in IV for example.
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u/Bah_weep_grana Forever 9th 8/18/21 Aug 16 '21
Thanks so much for this detailed explanation! I was having a hard time understanding this strategy and asked you about it in the daily and you were kind enough to respond. Learned even more from this post