The Market Measure segment, sponsored by CBOE, examined how theta and vega react during market volatility spikes. Research showed that short premium traders benefit from both faster time decay and reduced implied volatility directional risk in high IVR environments.

When analyzing a 16-delta SPY strangle across different volatility environments, data revealed theta increases with IV at a much faster rate than vega decreases. This means traders profit more from accelerated time decay than from reduced vega exposure when volatility is elevated.

The Market Measure segment, sponsored by CBOE, examined how theta and vega react during market volatility spikes. Research showed that short premium traders benefit from both faster time decay and reduced implied volatility directional risk in high IVR environments.

When analyzing a 16-delta SPY strangle across different volatility environments, data revealed theta increases with IV at a much faster rate than vega decreases. This means traders profit more from accelerated time decay than from reduced vega exposure when volatility is elevated.