Options trading with a 0DTE strategy raises a natural question: should you use the 9-day VIX instead of the regular 30-day VIX as your indicator? The data from this Options Jive study covers the 9-day, 30-day, three-month, and six-month VIX products and the answer is clear, stick with the VIX.
Implied volatility explained through hard numbers: IV overstates realized volatility 78% of the time on the 9-day, 82% on the 30-day and beyond. The overstatement is consistent across all durations, but the bang for your buck -- theta decay, collection speed, capital efficiency -- peaks at the 30 to 45 day timeframe. Selling further out gives you the same overstatement with much more time at risk.
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CHAPTERS:
00:00 The Question: Short-Term VIX vs Regular VIX f...