New Options Backtester
Search, filter, and sort 65,640,607 backtests

Indicators

Thursday, December 20th 2018

ETF Component Report

ETF Component Report

Summary

The ETF Component Report analyzes the weighted average of an ETF's component implied volatilities divided by the ETF's implied volatility. The component ratio indicates the benefit of diversification when high and the risk of implied correlation when low.

Components' Implied Volatility / ETF Implied VolatilityComponent Ratio (the Ratio) = Weighted average of the ETF's component implied volatilities divided by the ETF's implied volatility. When the market is high (RED graph), the Ratio (BLUE graph) is mostly high. When the market is low, the Ratio is low.The component ratio shows the benefit of diversification (when HIGH), and the risk of implied correlation (when LOW).

Contact Us
Curious about enterprise pricing? Want to become an affiliate? Questions about our data? Let us know.
Your email
Your message
Submit
ORATSORATS
Institutional Quality Tools for All Options Traders
(312) 986 - 1060
support@orats.com
36 Maplewood Ave, Portsmouth, NH 03801
Trading Tools
APIs
Historical Data
More Information