Volatility

Treynor ratio

Treynor Ratio

The Treynor ratio is a measurement of the returns earned in excess of what could’ve been earned on an investment that has no diversifiable risk per unit (like U.S. Bonds) of market risk assumed. The Treynor reward to volatility model is also called the reward-to-volatility ratio or Treynor measure it was named for Jack L. …

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uvxy stock

What is the UVXY Stock?

The UVXY is a volatility tracking exchange traded fund. This ETF started trading in October of 2011 and it tracks 1.5 times the performance of the S&P 500 VIX short-term futures index for a single day. Due to the compounding effect of daily returns, the UVXY’s performance over the long-term will be very different than …

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IV Crush

IV Crush

 IV crush stands for implied volatility crush and is a description of what happens to options vega premium when it drops dramatically out of the pricing model of an option chain. This usually happens after a major risk or news event has passed for the underlying stock or market for the option contract. The most …

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Implied Volatility

What is Implied Volatility Crush? (IV Crush)

Implied volatility or IV crush are descriptions for when an options vega premium dropped dramatically out of its pricing. This usually happens after a major event has passed for the underlying stock or market for the option contract. The most common time to see IV crush in a stock option is after an earnings announcement …

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