Questions tagged [implied-volatility]
The implied volatility of an option contract is that value of the volatility of the underlying instrument which when input in an option pricing model such as Black–Scholes will return a theoretical value equal to the current market price of the option.
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How do you measure the Accuracy of Implied Volatility?
Recently I've gotten hold of a list or rather a chart of 30-day Implied volatility and historical volatility for the same stock over the course of a year. With these data, I've thought there might be ...
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Is Implied- and Historical Volatility based on solely Business days?
I'm trying to compare historical and implied volatility for different stocks. Still, since I can't tell what these numbers are based on (for historical volatility) and referring to (for Implied), I'm ...
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IV applied to Buying Vs. Selling Option Contracts!
Is low IV (Implied Volatility) good for selling or buying options?
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Implied Volatility for a Stock
I'm looking for Python libraries or formulas to compute Implied Volatility (IV) for a stock. Most of the web searches indicate that IV is related to an option contract.
Can you explain if and how ...
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How is implied volatility on future treasuries used to expect Forex volatility?
I was listening to some traders talk amongst themselves. One emphasized the importance treasury implied Vol as a useful indicator for forex vol/trading.
I don't totally see the connection. I have a ...
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Why do implied volatility changes at different strike prices exactly coincide with one another?
Please see the image of the Implied volatility of different strike prices separated by 100 points. This is the recorded data of the actual market.
As it can be clearly observed that the Implied ...
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What’s the formula to estimate stock price (in a week or month from now) using implied volatility?
Let’s say a stock trades at $45 today and has IV of 92%. I wanna get a rough range of where the stock might be in a week from now, let’s say $32 to $58 in a week, based on the IV 92%. How do I get ...
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After an option skyrockets in price and IV, when will IV decay and drop?
Consider LEAPS on stocks on BNTX, GME, MRNA, TSLA or ETFs like XSD, SOXX. They've all rocketed in price, and their IV too. Once their IV drops, I'm thinking of buying them. I've been following some of ...
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Put option premium decreasing when underlying is also decreasing
Had some spare cash, decided to buy a weekly put for a 7/16 expiry with a $15 strike, $0.55 premium that had an IV of ~500% and I purchased 5 contracts, for a total of $275. The underlying has fallen ...
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To calculate the VIX are SPX calls and puts simply compared against the current price of the SPX?
I understand the math behind the VIX calculation is relatively complex but I believe the concept is relatively simple. If I understand it correctly, the VIX is calculated in part by aggregating the ...
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How can I be short volatility on a stock without getting exposed to moves in the underlying?
Given the current high volatility situation I'd like to benefit by deploying my mostly conservative portfolio in making bets that are short volatility. In particular some stocks like GME and BB and ...
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Volatility and Call Options
Say I own an in-the-money call option that I want to sell for profit. I learned that higher volatility leads to an increase in the "price" of a call option in order to compensate for ...
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Options : low IV = selling, high IV = buying?
Trying to make sense of the following sentences found in an article
High volume and low volatility indicates that option contracts are
being sold.
High volume and high volatility indicates option ...
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Does increasing value of a still-out-of-the-money option that you wrote (covered) pose a risk to you?
I am a US citizen living in the US. I want to write covered call options to receive premiums. If implied volatility increases and/or the price of the underlying rises, an out-of-the-money call can ...
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Why do options get more volatile, as time approaches the earnings date?
Doesn't the increased in implied volatility infringe the semi-strong form of the EMH? Whether you buy options 7 or 1 day before the earnings date, you still don't know any more about the actual ...
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How can I find historic volatilty for a stock? [closed]
I sometimes read someone talking about an option's implied volatility being "high" or "low". I assume this means in relation to the historic volatility, or some rough estimate of what it "usually is ...
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Ballpark range for an IV Crush
I would love to enter a few options trades but have learned (the hard way) that moves from high to low IV can mess the returns even when calling the right direction of the move. This is explained in ...
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How to compute IVx (Implied volatility for a specific expiration) and the expected move with options?
By searching online, I have found three methods to compute the expected move of a stock based on option prices and implied volatilities:
Method 1: Extract the price of a Straddle ATM of the front ...
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Option implied volatility and 95% losing trades?
I trade options. Whenever I buy puts or calls, I end up breaking even or losing, sometimes losing a HUGE amount of money even though price has gone my direction and time decay (theta) has been ...
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Crash O Phobia and the reason for higher pricing of out of the money puts
In my stochastic finance course we are currently talking about Implied Volatility and Crash O'Phobia.
According to Rubinsteins Crash O'Phobia, put-sellers attach a higher probability to the left tail ...
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Expected stock price move using IV
From this post https://www.projectoption.com/expected-move-explained/, he uses the following formula to calculate a 1 SD move in the stock:
How do you know which stock option to use for this?
For ...
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Meaning of IV for a strike
As I understand it, IV is defined as an annualized 1 standard deviation range for an underlying. So what is the meaning of implied volatility for a strike?
The IV on each strike is calculated by ...
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Implied volatility for options
To predict where a stock might trade at a year from now, you use a formula based on HV, stock price x IV, and that provides an assumption of where the stock might trade at a year from now.
When ...
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Does sigma in Black-Scholes attempt to take into account future events?
I am learning basic information about Black-Scholes wrt options pricing.
I see that the standard deviation of the stock price is taken into account. This seems to only rely on existing (historical) ...
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Implied volatility vs implied pdf
Good morning. I'm trying to download the implied volatility for at-the-money options on Eurodollar future 3 month. Is there some way to find it? Can it be calculated from the probability distribution ...
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Options Volatility and Settlement during a merger and acquisition
I'm trying to figure out how the vol of an option on a target change when the deal is a mix of cash stock.
We know that in a cash deal, vol creeps to 0 as the deal collects approvals. Stock deal, vol ...
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Why does increased volatility always mean higher call prices?
I understand that apparently implied volatility of a call option increases as the underlying price of the stock deviates further and further from the moving average. That mostly makes sense, because ...
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When using the VIX index, is it similar to calculating volatility?
Im trying to understand the VIX Index, it gives the implied volatility of the S&P500.
Now if I was to calculate the volatility of the S&P500 using standard deviations of the returns over a ...
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How to calc profit and loss on vol listed options
CME lists vol quoted USD-EUR options. I can tell they are incredibly illiquid (there are no quotes listed) but how would these settle? If I bought on a 7 vol how would I know if I made money?
Here is ...
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How exactly is implied volatility assigned to an option's strike price?
I'm trying to understand implied volatility (IV) better. Recently, I was looking at $YUMC's option chain (date: 07/10/2017) and in particular the 27.5 strike price with an IV of 0%.
I'm trying my ...
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How can IV give an indication of the markets opinion about a stock when there's no such thing as IV for a stock?
Correct me if I'm wrong, but Implied Volatility is for a specific option contract (a specific strike, a direction, and an expiration). So how can there be IV for a stock?
As I understand it, and ...
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How accurate is Implied Volatility in predicting future moves?
As I understand it, IV give the range the stock is likely to move within a year (to one standard deviation).
Is this accurate? Are there any studies showing the accuracy or lack there of IV?
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Does Implied Volatilty factor in all known future events?
With regards to option pricing in the BS model, if there is an earnings announcement coming up or an anticipated product launch, will the IV be correspondingly high to account for these known events (...
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If Implied Volatility is calculated on a per option strike basis, how do stocks have IV?
My broker shows Implied Volatility for a stock, but as I understand the BS model, it's calculated on a per option basis. So how is it shown for the entire stock?
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Is this the right formula to use implied volatility to gauge probability of a stock being within a certain range?
I read online somewhere, and I can't find it now, that to find the probability of a stock hitting a certain price within a certain time frame, we can use Implied Volatility:
X = StockPrice * IV * ...
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What's overnight volatility?
https://www.ig.com/uk/view-ig/2016/09/20/the-central-bank-fest-ramps-up-34452
In the FX market, USD/JPY is the pair to watch through Asia today, with the options market showing implied overnight ...
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What is the skew of a volatility smile?
My book says that the skew of an implied volatility smile is the slope of the curve.
But then it says that the skew is 0.25 %, i.e., if K goes DOWN 1, implied volatility goes UP 0.25 %.
However, ...
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Why don't I get an implied volatility skew?
I am trying to implement some financial formulas in Excel, and I sadly do not see an implied volatility smile, as I am being told I should. What's going on here?
If rate is zero, spot is 100, ...
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Does Black Scholes exhibit the volatility smile?
You often hear about the volatility smile. Is that something that occurs within a standard Black Scholes model, with the usual formula for the price of a call?
If we were to observe some call price (...
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Setting up a delta-neutral position with Out of the money options
I am setting up a delta-neutral position using options only. My goal is to trade implied volatility having always a delta-neutral position. My question is, is there any difference if I do it with at ...
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How is options implied volatility for a stock determined?
For any given stock in Interactive Broker's TWS (and I bet with any other broker), there is an option's historical volatility and an option's implied volatility. I know the historical volatility is ...
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Implied or historical volatility to calculate theoretical options price with black scholes?
According to the black scholes model, volatility is one of the variables to calculate the fair price of an option. However, it doesn't specify which volatility should I use. Should I take the ...
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How liquid is options market?
My strategy involves making profits from an increase in implied volatility on long straddles/strangles.
Enemy: Time decay
I am aware that the time decay accelerates. I read that for a 9 month ...
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Does implied volatility always rise as earnings announcements approach?
Often, implied volatility of options rise as an earnings announcement approaches. Does this principle hold true regardless of whether the earnings are expected to be good or bad?
Also, usually IV and ...
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How can I affect implied volatility of an option?
Implied Volatility represents the actual above-market premium an option contract trades for at any point in time, but it changes in mysterious ways.
If I wanted implied volatility to be higher, could ...
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How to read an implied volatility percentile chart
In this free source of volatility data,
there is a column Days/Percentile. How to interpret this? It says:
Days:the number of days back for which implied volatility has been calculated
Percentile:...
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Why IV and stock price are inversely related
What is the reason that Implied Volatility and Stock Price are inversely related?
Is it possible to understand this qualitatively without getting into the math of the Black-Scholes formula?
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Online service that computes implied volatility [closed]
Is there a free online service that will give me the Implied Volatility of a stock or ETF based on the current option price? Or do I need to calculate myself in excel? I found this resource on IV
but ...
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Options price vs implied volatility - who drives who?
In this article we have:
In contrast, IV is derived from an option’s price and shows what the market “implies” about the stock’s volatility in the future. Implied volatility is one of six inputs ...
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How companies choose earnings release dates, & effect on Implied Volatility
A company's earnings release date significantly affects weekly or monthly option prices and implied volatility. For companies that typically release earnings on the cusp of monthly options expiration ...
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