Alex F.

Selling Theta: Five Option Write Ideas for a Closed Market

You are forgetting one important issue. Everybody knows that we have or rather had a long weekend coming (actually the same applies to a regular weekend or any holiday), including market makers. Therefore, the weekend decay is priced in prior to the actual weekend. And if you followed the option premiums from Monday to Wednesday you would've noticed that they were decaying at an accelerated pace. In other words, the market makers had been slowly taking out the long weekend decay over the first 3 days of the week.

VIX Premium Ratio Finally Perks Up

Either I'm having a brain fart or you are constructing the implied/realized volatility ratio incorrectly.

Implied volatility is a measure of expected volatility over the next month.

Realized volatility is a measure of realized volatility over the previous month.

So today's realized volatility value corresponds to the implied volatility one month ago. Therefore, you should lag the realized volatility and not implied.