Sentences with phrase «higher implied volatility»

Higher implied volatility, higher leverage, and lower stock prices lead to higher spreads.

To summarize his argument, the rational for seeking low volatility dividends stocks is that «Volatility is considerably persistent through time, and the implied volatility from options prices is a key signal for determining the probability of corporate distress.The higher the implied volatility, the higher the probability of distress.

A much higher implied volatility value tells me the market is predicting large swings.

Tha way I would buy low implied and sell high implied volatility, I would capture the same skew effect but with less transaction costs.

Not exact matches

Periods of low volatility also do not imply that higher volatility is imminent.

The stock market opened way down, continuing last Friday's selloff, though it has climbed back since the open — implying the return of volatility — as skittish investors continue to fear the sequence I describe in this AM's WaPo: tight labor market, wage pressures, higher interest rates, inflation, lower profit margins.

According to Bloomberg data, the VIX Index, a proxy for U.S. equity market implied volatility, traded over 50 on Monday morning, the highest level since the financial crisis.

Since the implied volatility is relatively high at 50 %, this trade has a maximum profit of only 0.9 % if the puts expire worthless, but it provides a downside hedge of 10.1 % if the puts are assigned.

Implied volatility is higher when the option price and the expected volatility are higher.

While Canadian stocks appear modestly cheap and offer a compelling dividend yield, the market's higher sensitivity to natural resource prices implies there may be heightened volatility ahead.

Composite Treasuries Sentiment: Taking a broader view of bond market sentiment (our composite bond market sentiment indicator combines the signal from futures positioning, fund flows, implied volatility, and global bond market breadth), it's readily apparent that bond market sentiment has seen a reset from relatively stretched bearishness to just on the bullish side of neutral (i.e. the indicator is saying participants have gone from expecting higher bond yields to expecting lower bond yields).

Oct. 20, 2014 — Today's closing price was an all - time daily closing high of 72.83 for the CBOE Brazil ETF Volatility Index (VXEWZ), which reflects the implied volatility of thVolatility Index (VXEWZ), which reflects the implied volatility of thvolatility of the EWZ ETF.

While the early - 2017 Federal Reserve minutes «expressed concern [about] the low level of implied volatility in equity markets,» it is worth noting that the SPX implied volatility levels at both 80 % and 90 % moneyness (corresponding with out - of - the - money puts used for portfolio protection) generally were much higher than the VIX levels.

Jeff Chiappetta: So when you have that combination, you're going to have a higher volatility play potentially, expanded implied volatility, with the hopes that the stock goes your way, and the puts expire worthless.

www.cboe.com/SKEW Implied volatility for O - T - M SPX puts (used for portfolio protection) generally recently has been much higher than implied vol for A-T-M SPX oImplied volatility for O - T - M SPX puts (used for portfolio protection) generally recently has been much higher than implied vol for A-T-M SPX oimplied vol for A-T-M SPX options.

SPX implied volatility at 80 % and 90 % moneyness generally has been much higher than at 100 % moneyness — this reflects the fact that there often is big demand for out - of - the - money SPX puts to be used for portfolio protection.

The first price chart below shows that the levels for the Cboe Crude Oil Volatility Index (OVX) were higher than those for the VXST and VIX indexes in January, but today the the VXST and VIX rose much higher than the OVX Index — in general, implied volatility now is higher for the S&P 500 than it is for the USVolatility Index (OVX) were higher than those for the VXST and VIX indexes in January, but today the the VXST and VIX rose much higher than the OVX Index — in general, implied volatility now is higher for the S&P 500 than it is for the USvolatility now is higher for the S&P 500 than it is for the USO Oil ETF.

In the first chart below, Bloomberg's estimates for 30 - day implied volatility for VIX options on January 19 ranged from 68.9 to 115.5, and on February 5 the range was much higher — from 146.8 to 353.1.

On the one hand, declining bond market activity and the persistence of low - risk arbitrage opportunities imply liquidity is impaired, while, on the other, low volatility and high demand for risky assets suggest that liquidity is alive and well.

* Finally, if implied volatility perks up from its current slumber and spikes to higher levels, that can inflate the profit potential (at least prior to expiration) of this trade.

A measure of implied volatility known as the CBOE VIX surged this week, reaching its highest level since Oct. 26.

If the insurance company can handle the lack of incremental income, investing in higher credit quality instruments in tight spread low implied volatility environments can mitigate the risks.

Implied volatility is low and actual volatility is high.

Question: Is the sweet spot for covered call stock selection buying solid balance sheet / good cash flow companies with a history of paying a growing dividend (and a payout ration say less than 70 %) during times when implied volatility may be higher (such as now)- so valuations for the stocks you are writing calls on are lower - despite being solid companies.

When a mutual fund has a high standard deviation, it means its range of performance is wide, implying greater volatility.

Risk premia harvesting strategies are based on the premise that over time implied volatility trades higher than what is actually realized in the underlying market.

Only time will tell, but if realized volatility moves higher, expect an increase in implied volatility which can directly lead to trading opportunities.

If you sell when implied volatility is high, you increase the premiums you make on the option.

As a general rule, you want to buy when the implied volatility is low and sell when it's high.

When implied volatility is high, the intraday moves can be large, and when implied volatility is low, intraday ranges tend to be narrow.

A high standard deviation indicates that the range is wide, implying greater potential for volatility.

1) Implied volatility is high, as is actual volatility.

Implied volatility is high and jumpy.

They are both numbers between 0 and 100, higher numbers imply higher volatility.

As a result, the call option prices on an ILETF with high strike are often more expensive than call option prices on an LETF when stock price and implied volatility are negatively correlated.

In one definition, hedge fund traders look for options with implied volatilities that are much higher or much lower than forecast volatilities.

If the implied volatility is much higher than what is forecast, they simply do the reverse.

Volatility, both actual and implied, are tools to have in your arsenal to help you understand when markets might be overvalued (low volatility) or undervalued (very high voVolatility, both actual and implied, are tools to have in your arsenal to help you understand when markets might be overvalued (low volatility) or undervalued (very high vovolatility) or undervalued (very high volatilityvolatility).

If I wanted implied volatility to be higher, could...

If implied volatility is higher, callable security prices will be depressed.

A high value for alpha implies that the stock or mutual fund has performed better than would have been expected given its beta (volatility).

A measure of implied volatility known as the CBOE VIX reached a high of 24.51.

A measure of implied volatility known as the CBOE VIX surged 18.3 % to close at 23.62, its highest in over a week.

A measure of implied volatility known as the CBOE VIX surged this week, reaching its highest level since Oct. 26.