The methodology employed to construct the NZVIX differs from the VIX and other implied volatility
In this section, we focus on evaluating hedging effectiveness under more realistic market price models which account for implied volatility
To see how a straddle is a bet on volatility, assume that the implied volatility
(using the BSM model) from a straddle on an equity option that expires in one month is 40 percent (annualized).
Chart 2 shows movements in one-month and twelve-month implied volatility
respectively and in the krone exchange rate against the Deutsche mark.
Experienced option traders learn to rely on an option's implied volatility
, rather than its dollar price, as a better reflection of the option's price in the marketplace.
The previous example assumed that the underlying Black-Scholes-Merton model generated the option prices so that the implied volatility
was the same on both days.
The S&P/TSX 60 VIX approximates the 30-day implied volatility
that is derived by the near-term and next-term options.
The S&P Dynamic VEQTOR X Index is part of the S&P 500 Dynamic VEQTOR Index Series which allocates between equity and volatility based on the combination of realized and implied volatility
trend decision variables.
50 strike jumped from fewer than 6,100 contracts to 11,745 contracts, and implied volatility
Investors can enter a ticker on the Options home page and customize the display of data, including historical statistical volatility and key derived option measures like implied volatility
and option "Greeks," which are measurements of the sensitivity of option price changes to stock prices and other factors.
This filter can be used to look for stocks that have options with high implied volatility
readings in comparison to the security's historical performance.
14 it has the lowest implied volatility
of the majors.