Significant Changes Observed in IV and RV Over the Past Two Weeks

According to Odaily, an analysis by The Cook Capital has revealed substantial changes in Implied Volatility (IV) and Realized Volatility (RV) over the past two weeks. The data indicates that the medium to long-term RV, for periods exceeding three months, generally hovers around 50%, while the IV is typically higher than the RV. Consequently, the Volatility Risk Premium (VRP) for three months, six months, and one year is quite substantial.

In terms of volatility structure, the Forward Implied Volatility (FWD IV) for December, relative to September, stands at 66%. This significant shift in volatility metrics over a short period indicates potential changes in market dynamics and investor sentiment. However, the specific implications of these changes remain to be seen. The Cook Capital's analysis provides valuable insights into the current volatility landscape, which could be instrumental for investors and market participants in making informed decisions.