Sentences with phrase «implied volatility of»

In particular, I am watching the implied volatility of XLF, the financial sector's bellwether ETF.

The VIX measures the implied volatility of the options on the ticker SPX (which tracks the S&P 500).

The dividend yield q and implied volatility of the underlying stock σ were 0.2235 per cent and 35.21 per cent, respectively.

By relating option prices to observables (such as strike prices, time - to - expiration, spot price and so on) and one unknown parameter (implied volatility of the underlying asset return dynamics), Black and Scholes (1973) allowed practitioners to more systematically study observed option prices.

However, the actual exposure these notes embed is highly complex and dependent on several factors, including the implied volatility of the underlying but also the creditworthiness of the issuer, dividend rates, trigger levels and the term of the note.

If, for example, the company plans to announce earnings or expects a major court ruling, these events will affect the implied volatility of options that expire that same month.

The CBOE Volatility Index (VIX)-- the so - called «fear gauge» derived from the implied volatility of S&P 500 options — has been closing out the year near its historical lows, miles away from fear.

The CBOE Volatility Index ® (VIX) measures the implied volatility of the S&P 500 ® over a 30 - day period.

The implied volatility of the option contract is 30 %.

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

They consider four potential predictors: (1) the default spread (between Moody's BAA and AAA rated bonds); (2) the broad stock market dividend yield; (3) the implied volatility of the S&P 500 Index (VIX); and, (4) the monthly net aggregate flow into the hedge fund industry.

Is it the average implied volatility of all the options...?

The Chicago Board Options Exchange Volatility Index (VIX) is a forward - looking index that measures the implied volatility of the S&P 500 Index.

Under contingent claims theory, spreads should narrow when equity prices rise, and when implied volatility of equity options falls.

Scrambling to hedge their positions against further losses, investors bid up the prices of options, leading to the surge in the VIX, a gauge that measures the implied volatility of near - term S&P 500 index options.

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.

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 the EWZ ETF.

In contrast, the implied volatility of Australian equities is at an all - time low.

In this box we use the implied volatility of options [1] to contrast fixed - interest and equity markets, where implied volatility has declined noticeably, with foreign exchange markets where volatility has not fallen as sharply.

The VIX Index, which measures the implied volatility of the S&P 500 Index, is now hovering near 20 — double its January low.

[1] The Chicago Board of Exchange (CBOE) Volatility Index (VIX) measures expectations of 30 - day volatility, based on the implied volatilities of a range of S&P 500 index options.

Overall, implied volatilities of foreign exchange rates have exhibited a less clear trend than those observed in equity and fixed - interest markets.

It is possible that a large part of the decline in implied volatilities of interest rates can be attributed to reduced uncertainty about the future path of monetary policy at that turning point.

Since then, developments in implied volatilities of currencies against the US dollar have been mixed.

Implied volatilities of the major equity indices have declined substantially since the start of 2003 (Graph A1).

Bond yield spreads are very highly correlated with the implied volatilities of stocks, and the yield spreads on bond indexes are highly correlated with the implied volatility on broad market equity indexes, like the VIX.

Finally, look at the peace and calm of low implied volatilities of the equity markets.

It is constructed using the implied volatilities of a wide range of S&P 500 ® Index options.

Expected volatilities are based on a blend of historical and implied volatilities of our common stock; the expected life represents the weighted average period of time that options granted are expected to be outstanding giving consideration to vesting schedules and our historical exercise patterns; and the risk - free rate is based on the U.S. Treasury yield curve in effect at the time of grant for periods corresponding with the expected life of the option.

Not exact matches

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.

Good news, everyone: Since both realized and implied volatility have declined over the past couple of weeks, JPMorgan and Deutsche see those CTAs spring - loaded to buy more stocks.

And almost even more concerning than that — a lot of what's driving that low in volatility is people are selling short volatility,» he said, implying that traders are betting that volatility could push even lower.

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.

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.

The model is both objective, using elements such as volatility of past operating revenues, financial strength, and company cash flows, and subjective, including expected equities market returns, future interest rates, implied industry outlook and forecasted company earnings.

Lower levels of implied volatility mean less income from each call option sold.

Our paper examines a comprehensive suite of volatility measures including actual volatility, volatility implied by option pricing, beta, credit default spreads, preferred stock yields and earnings price ratios.

The chart below depicts realized stock market volatility and the VIX measure of expected volatility as implied by options.

Credit spreads historically have shown a close relationship with the VIX gauge of U.S. equity market implied volatility.

The CBOE Volatility Index, known by its ticker symbol VIX, is a popular measure of the stock market's expectation of volatility implied by S&P 500 index options, calculated and published by the Chicago Board Options ExchanVolatility Index, known by its ticker symbol VIX, is a popular measure of the stock market's expectation of volatility implied by S&P 500 index options, calculated and published by the Chicago Board Options Exchanvolatility implied by S&P 500 index options, calculated and published by the Chicago Board Options Exchange (CBOE).

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.

Since the implied volatility is relatively low at 38 %, this trade has a maximum profit of only 3.3 % if the puts expire worthless, and it only provides a downside hedge of 3.4 % if the puts are assigned.

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.

Changes in sentiment were reflected in sharp fluctuations of implied (forward - looking) volatilities of major asset classes.

Furthermore, as the extirpation of wolves exposed policymakers to previously unanticipated macro risks, the suppression of known market volatility via term premium dampening also implies the next wave of risk contagion will likely come from unconventional sources beyond the current regulatory focus (similar to the lack of «dot - com euphoria» led some investors to see that there was no market excess prior to the GFC), and a «well sheltered» financial market would be ill - prepared to adapt.

Specifically, they relate spot West Texas Intermediate (WTI) crude oil price to: the U.S. dollar exchange rate versus a basket of developed market currencies; Dow Jones Industrial Average (DJIA) return; U.S. short - term interest rate; the S&P 500 options - implied volatility index (VIX); and, open interest in the NYMEX crude oil futures (as an indication of financialization of the oil market).

To investigate, we consider a simple VRP specification: S&P 500 Implied Volatility Index (VIX) minus standard deviation of daily S&P 500 Index returns over the past 21 trading days.

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.

The implied volatility in options is fairly low here, but to the extent that actual market volatility comes in even lower, we would lose some portion of that 2 % through time decay that we could not recover through active management of the position.