Glossary Detail: IV Spread
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Backtesting IV Spread on High-Beta Names
Percentile ranking of IV dispersion across strikes — reveals how unevenly the market is pricing risk across the options chain.
Further Details:
IV Spread measures the dispersion of implied volatility across different strikes in the options chain, expressed as a percentile. A high IV Spread means the market is pricing significantly different volatility levels at different strikes — often indicating skew from directional positioning or event risk.