Markets: A Rigorous Course

M09A · Problem 9 ★ Check

IV rank versus IV percentile

Ten consecutive closes of a volatility index are 13.2, 12.8, 14.1, 16.5, 21.0, 18.2, 15.0, 13.9, 14.4, 14.8. (a) With a 10-observation window, compute IV rank and IV percentile on the last day. (b) Which statistic changes if the 21.0 had been 31.0? By how much? (c) Prove the first part of Proposition 9A.7.

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Commas, ₹, % and 1e-3 notation are accepted.

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