2026年9月6日 14:00 ET 发布 · 更新于 2 个月前 · 1 个来源
VIX to VVIX ratio is a superior volatility metric for option selling
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原始报道
The VIX to VVIX ratio, which typically ranges from 5 to 7, provides a more accurate assessment of volatility compared to metrics like IVR or IVP, which can be distorted by one-year lookback ranges. This ratio is particularly effective for evaluating the performance of short strangles, with higher PNLs observed when the ratio is less than five.
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