Studies and trade write-ups from our own data, plus guides on trading volatility.
Long volatility strategies profit from moves larger than the market expects, carrying positive vega and negative theta. This guide covers how to go long vol…
VIX futures trade in contango ~80% of the time, generating 3-7% monthly roll yield that destroys long-volatility ETFs and creates a systematic edge for short-vol…
Historical volatility measures actual past price movement from the standard deviation of log returns. Implied volatility is derived from option prices by reverse-solving Black-Scholes. IV…
VIX1D measures expected 1-day S&P 500 volatility from SPX options expiring the next business day, launched by CBOE in April 2023. This guide covers the…
ES futures move 40-60 points on an average day at normal VIX levels, expanding to 100+ points above VIX 30. This guide covers the VIX-to-daily-range…
How to calculate position size using ATR, the Kelly criterion, VIX-based portfolio scaling, and inverse volatility allocation. Covers the core ATR formula with worked examples,…
Bollinger Bands measure volatility using a standard deviation envelope around a 20-period moving average. When the bands compress (squeeze), a directional breakout is imminent. This…
Implied volatility exceeds realized volatility ~85% of the time by 2-4 percentage points — the volatility risk premium. This guide covers how to harvest that…
S&P 500 stocks lose 30-50% of their implied volatility overnight after earnings. Stocks move less than the options-implied expected move 70-75% of the time, creating…
UVXY tracks 1.5x the daily return of short-term VIX futures and has lost over 99.9% of its value since inception due to contango roll costs…
0DTE options expire the same day and now account for ~50% of SPX options volume. Theta decay on these contracts accelerates non-linearly, reaching $2+/hour in…
IV rank measures current implied volatility's position within its 52-week high-low range. IV percentile counts the percentage of trading days below the current level. IV…
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