What Does It Mean When the Implied Volatility Rank (IVR) Is High?
Implied Volatility Rank (IVR) measures the current implied volatility (IV) of an asset relative to its IV range over a specific historical period (e.g. the last year). A high IVR (e.g.
80%) means the current IV is near the high end of its historical range. This indicates that the market is currently pricing in a high expectation of future price movement compared to its recent past.
Traders often interpret a high IVR as a signal that options are relatively expensive, favoring options selling strategies.
Glossar
High IVR
Premium ⎊ A high IVR indicates that the current implied volatility is near its historical maximum, suggesting options premiums are relatively expensive.
Implied Volatility Percentile
Quantification ⎊ ⎊ Implied Volatility Percentile represents a statistical measure within cryptocurrency options markets, indicating the percentage of trading days over a specified period where the realized volatility of the underlying asset has fallen below the current implied volatility.
Implied Volatility
Expectation ⎊ This value represents the market's consensus forecast of future asset price fluctuation, derived by reversing option pricing models using current market premiums.
Implied Volatility Rank (IVR)
Definition ⎊ Implied Volatility Rank (IVR) is a statistical measure that contextualizes the current implied volatility of an asset by comparing it to its historical range over a specified lookback period.
Volatility Rank
Framework ⎊ Volatility Rank, within cryptocurrency derivatives and options trading, represents a standardized, ordinal measure of relative volatility across a cohort of assets.
Implied Volatility Rank
Volatility ⎊ Implied Volatility Rank (IVR) within cryptocurrency derivatives quantifies relative volatility expectations across different options contracts.