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Market Measures - October 20, 2025 - When Traders Panic: What IVR and Volume Reveal

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Manage episode 514756537 series 68544
Content provided by tastylive. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by tastylive or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://podcastplayer.com/legal.
A market measure segment analyzed how volatility and trading volume interact in SPY over a five-year period. The research confirms that when implied volatility (IVR) spikes, trading volume typically increases, signaling genuine fear in markets. The most significant finding: days with both high IVR and high volume create ideal short-volatility setups, as these conditions typically lead to rapid volatility contraction within 24-48 hours. This pattern creates what traders call "the juiciest short vol opportunities." The study reinforces that crowd behavior drives the volatility cycle, once everyone reacts to market panic, there's no one left to sell, creating mean reversion. Low IVR periods offer minimal reward for volatility sellers due to limited expected movement.
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1665 episodes

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iconShare
 
Manage episode 514756537 series 68544
Content provided by tastylive. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by tastylive or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://podcastplayer.com/legal.
A market measure segment analyzed how volatility and trading volume interact in SPY over a five-year period. The research confirms that when implied volatility (IVR) spikes, trading volume typically increases, signaling genuine fear in markets. The most significant finding: days with both high IVR and high volume create ideal short-volatility setups, as these conditions typically lead to rapid volatility contraction within 24-48 hours. This pattern creates what traders call "the juiciest short vol opportunities." The study reinforces that crowd behavior drives the volatility cycle, once everyone reacts to market panic, there's no one left to sell, creating mean reversion. Low IVR periods offer minimal reward for volatility sellers due to limited expected movement.
  continue reading

1665 episodes

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