Sentences with phrase «implied volatility for»

With implied volatility for the option over 30.0 at the time I sold the contract I didn't need to push my luck to get a good annualized return.

2) Do you think there is a chance that the implied volatility for options on SLV will rise from their current low levels between now and mid-January 2019?

3) As you can see in Figure 3, the implied volatility for options on ticker SLV (an ETF that tracks the price of silver) has collapsed to a very low level.

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.

The one - month implied volatility for euro / greenback options dropped to 7.5 percent.

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 options.

That's shown in the chart by the ratio of one - month implied volatility for companies hosting analyst days in March, relative to the average S&P 500.

The recent levels of implied volatilities for the three major overseas equity markets are low, but not unprecedented.

Chicago Board Options Exchange Volatility Index (VIX) reflects a market estimate of future volatility, based on the weighted average of the implied volatilities for a wide range of strikes.

Not exact matches

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.

This section includes mastering implied volatility and premium pricing for specific strategies.

For that reason, we would not rely on defenses that require the execution of stop - loss orders, being more inclined toward index put options, particularly given low levels of implied volatility here.

We caution you that these statements are not guarantees of future performance and are subject to numerous risks and uncertainties, including volatility in the economy and the credit markets, supply and demand changes for vacation ownership and residential products, competitive conditions; the availability of capital to finance growth, and other matters referred to under the heading «Risk Factors» contained in our Annual Report on 10 - K for the year ended December 30, 2011 filed with the U.S. Securities and Exchange Commission (the «SEC») and in subsequent SEC filings, any of which could cause actual results to differ materially from those expressed in or implied in this presentation.

Rick Frisbie: I think there are some expectations of uncertainty out there when you look at implied dollar futures out around the election, there is some expected volatility, but certainly we have lived in this kind of «TINA» world («There Is No Alternative») to equities and that has been a big boon for them.

But for other currencies, such as the euro and the yen, implied volatilities remain broadly unchanged (Graph A3).

In recent months, implied volatility in foreign exchange markets has remained at relatively elevated levels for some currencies, reflecting the large movements in currencies that have taken place.

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 some people question whether VIX is too low, it is worth noting that the average levels for Bloomberg's estimate of A-T-M implied volatility were 2.6 points lower than the VIX Index.

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.

We caution you that these statements are not guarantees of future performance and are subject to numerous risks and uncertainties, including volatility in the economy and the credit markets, supply and demand changes for vacation ownership and residential products, competitive conditions; the availability of capital to finance growth, and other matters referred to under the heading «Risk Factors» contained in the Information Statement filed as an exhibit to our Annual Report on Form 10 - K for the year ended December 30, 2011 filed with the U.S. Securities and Exchange Commission (the «SEC») and in subsequent SEC filings, any of which could cause actual results to differ materially from those expressed in or implied in this presentation.

daily closing levels were 12.6 for VIX Index, and 10.0 for the 30 - trading - day implied volatility of at - the - money 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.

The next two charts show how the volatility skew (and Bloomberg's estimates for 30 - day implied volatility) changed from January 19 to February 5.

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.

Also implied volatilities were larger for «out of the money» options to buy renminbi, than for equally «out of the money» options to sell the currency, thereby suggesting that the balance of expectations was skewed towards an appreciation of the Chinese currency against the US dollar.

The company cautions you that these statements are not guarantees of future performance and are subject to numerous risks and uncertainties, including volatility in the economy and the credit markets, supply and demand changes for vacation ownership and residential products, competitive conditions; the availability of capital to finance growth, and other matters referred to under the heading «Risk Factors» contained in the company's most recent Annual Report on Form 10 - K filed with the U.S Securities and Exchange Commission (the «SEC») and in subsequent SEC filings, any of which could cause actual results to differ materially from those expressed in or implied in this press release.

The volatility for individual stocks that I am referring to is implied volatility.

Solving the equation for the unknown (volatility) gives us the implied volatility.

Other free tools include a profit - and - loss calculator, a probability calculator (that uses implied volatility to determine your likelihood of hitting your targets) and the Maxit Tax Manager, which identifies tax implications of trading decisions (e.g., as short - and long - term gains and losses, wash sales) for planning purposes and generates on - demand 1099 forms.

With options you pay for a premium which relates to the expected (so - called «implied» volatility).

The forward market for 1 - year implied volatility doesn't exist in any deep way, so the insurance company decides that it will have to take its chances, and assume that volatility will mean revert over longer periods of time.

Examine the implied volatility [IV] on the longest dated at the money options for the firm.

Before I get sidetracked, let me mention the fact that there are two types of volatility in commodity options trading (and really all options trading for that matter): Historical and implied.

In short, we are well hedged against the potential for significant market losses, but with the implied volatility on index options fairly low, we've used shorter - term market fluctuations to modify our hedges in a way that better allows for any extension of the market's advance.

As VIX is an index for implied volatility (or expected volatility), in bull markets (markets moving up) it tends to move down, and in bear markets (markets moving down) it tends to move up.

Even something as pervasive as option modeling does not truly have a simple model, but implied volatility has to be re-estimated regularly for the Black - Scholes Model.

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.

Time to Go Gaga for BABA Stock With implied volatility dwindling, Alibaba stock options are once again cheap.

For any give stock, in interactive broker's TWS (and I bet on any other broker) there is a reported options historical volatility and an options implied volatility.

For implied volatility it is okey to use Black and scholes but what to do with the historical volatility which carry the effect of past prices as a predictor of future prices.And then precisely the conditional historical volatility.i suggest that you must go with the process like, for stock returns 1) first download stock prices into excel sheet 2) take the natural log of (P1 / po) 3) calculate average of the sample 4) calculate square of (X-Xbar) 5) take square root of this and you will get the standard deviation of your required daFor implied volatility it is okey to use Black and scholes but what to do with the historical volatility which carry the effect of past prices as a predictor of future prices.And then precisely the conditional historical volatility.i suggest that you must go with the process like, for stock returns 1) first download stock prices into excel sheet 2) take the natural log of (P1 / po) 3) calculate average of the sample 4) calculate square of (X-Xbar) 5) take square root of this and you will get the standard deviation of your required dafor stock returns 1) first download stock prices into excel sheet 2) take the natural log of (P1 / po) 3) calculate average of the sample 4) calculate square of (X-Xbar) 5) take square root of this and you will get the standard deviation of your required data.

For convenience's sake, it's best to annualize since volatility (implied or statistical) is now almost always quoted annualized.

Do implied volatility futures for different indexes represent a reliable pair trading opportunity?

For this analysis, they use data for the U.S. and European stock market indexes, associated implied volatility futures and U.S. and European aggregate bond indexes from March 2004 for U.S. assets (VIX futures inception) and from May 2009 for European assets (VSTOXX futures inception), both through February 20For this analysis, they use data for the U.S. and European stock market indexes, associated implied volatility futures and U.S. and European aggregate bond indexes from March 2004 for U.S. assets (VIX futures inception) and from May 2009 for European assets (VSTOXX futures inception), both through February 20for the U.S. and European stock market indexes, associated implied volatility futures and U.S. and European aggregate bond indexes from March 2004 for U.S. assets (VIX futures inception) and from May 2009 for European assets (VSTOXX futures inception), both through February 20for U.S. assets (VIX futures inception) and from May 2009 for European assets (VSTOXX futures inception), both through February 20for European assets (VSTOXX futures inception), both through February 2012.

Given that there is is no active market for long - dated implied volatility / long - dated options for something as liquid as the S&P 500, much less a mid-sized bank in southern Indiana, the exercise is problematic.

But implied volatilities are only available for at most two years out, because they don't commonly trade options longer than that.

Same for implied volatility... the VIX spikes during equity and credit market panics, but lolls around at low levels during the bull phase.

Take for example, a stock price of $ 50 with an implied volatility of 20 % and 30 - day expiration.

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 ofvolatility 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 ofVolatility 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 ofvolatility from options prices is a key signal for determining the probability of corporate distress.The higher the implied volatility, the higher the probability ofvolatility, the higher the probability of distress.

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