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Is there a quick and dirty way to approximate how much the volatility of an underlying would change for a 1$ move in the underlying.

The individual option Greeks measure the sensitivity of an option price w.r.t various factors like underlying price,volatility of underlying. But these factors are not independent.

Hence, I am trying to understand how a change in underlying affects the volatility.

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    Simple answer: no. – keshlam Mar 29 '15 at 3:09
  • Ok, then what is the not so simple way of estimating this dependency between underlying and volatility – Victor123 Mar 29 '15 at 14:17
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    The two are only loosely coupled, in that both respond to the mood of the market regarding that stock and others. Volitility reflects how confident folks are that the stock is priced correctly and that the surrounding market is stable. A price change ma affect that perception in either direction or not a all. Plus, o course, a $1 change means something very different for shares trading at $5 than shares trading at $50 or $500. You're asking the wrong question. – keshlam Mar 29 '15 at 15:22
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The volatility measures how fast the stock moves, not how much. So you need to know the period during which that change occurred. Then the volatility naturally is higher the faster is the change.

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