Implied volatility

Implied volatility is the volatility an option's price implies, worked backward from the premium: the market's priced expectation of the move. It rises into earnings and collapses after, and the VIX is implied volatility for the S&P 500.

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  • S&P 500The S&P 500 is about five hundred of the largest American companies, weighted by market value, and the number money is…
  • Expected moveThe expected move is the size of move the options market is pricing for an event: add the at-the-money call and put…
  • IV crushIV crush is the drop in an option's price when the uncertainty it was charging for disappears, typically the morning…
  • Option open interestOption open interest is the number of option contracts that exist at a strike right now, free on any option chain. The…
  • Options contractAn options contract gives the buyer the right, not the obligation, to buy (call) or sell (put) at a strike before…
  • Market correctionA correction is a fall of 10% to 20% from a recent high, a convention, not a rule. Most start on a rate repricing or a…

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