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An option’s implied volatility (IV) gauges the market’s expectation of the underlying stock’s future price swings, but it doesn’t predict the direction of those movements.
Fleming, Jeff, Barbara Ostdiek, and Robert E. Whaley, "Predicting Stock Market Volatility: A New Measure," The Journal of Futures Markets 15 (May 1995), pp. 265–302. Hulbert, Mark, "The Misuse of the Stock Market's Fear Index," Barron's, October 7, 2011. Mele, Antonio and Yoshiki Obayashi. "The Price of Fixed Income Market Volatility."
CBOE Volatility Index (VIX) from December 1985 to May 2012 (daily closings) In finance, volatility (usually denoted by "σ") is the degree of variation of a trading price series over time, usually measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices.
Implied volatility, a forward-looking and subjective measure, differs from historical volatility because the latter is calculated from known past returns of a security. To understand where implied volatility stands in terms of the underlying, implied volatility rank is used to understand its implied volatility from a one-year high and low IV.
He said, “I predict that 2024 will be marked by increased political volatility around election-related news and the troubles in currently active war zones around the globe, which are unlikely to ...
Importantly, while I think Arm shares can return 28% in the next year, such that it passes Palantir's current market value, investors uncomfortable with volatility should avoid the stock.
So if spot moves from $100 to $120, sticky strike would predict that the implied volatility of a $120 strike option would be whatever it was before the move (though it has moved from being OTM to ATM), while sticky delta would predict that the implied volatility of the $120 strike option would be whatever the $100 strike option's implied ...
Monte Carlo simulated stock price time series and random number generator (allows for choice of distribution), Steven Whitney; Discussion papers and documents. Monte Carlo Simulation, Prof. Don M. Chance, Louisiana State University; Pricing complex options using a simple Monte Carlo Simulation, Peter Fink (reprint at quantnotes.com)