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Market Measures

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IV Changes vs. Daily Ranges

Market Measures

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

The purpose of this Market Measures is to show that we can use the VIX to estimate the daily range in the S&P 500.

Since the correlation between the two variables is high, we can construct a formula that uses VIX as an input that outputs an estimate of a day’s range in the S&P 500.

Tune in as Tom and Tony walk through this process and the takeaways!

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