May 12, 2019
Often investors notice that after an earnings announcement a stock has the potential to move depending on the news. But what type of volatility or movement was expected before the announcement? Using implied volatility, we can look at how option premiums are pricing in potential expected moves. Derek Moore explains how the numbers work and how you can see what a one standard deviation expected move is once you know where to find implied volatilities of the underlying stock or index.
- • What is the VIX Index
- • How does the VIX measure volatility via options premiums on the S&P 500 Index.
- • What is implied volatility or IV?
- • What does the implied volatility translate to regarding expected stock movement?
- • Formula using implied volatility to calculate expected single standard deviation ranges
- • Why does implied volatility rise sometimes prior to an earnings announcement?
- • What is the straddle option strategy?
- • Why long straddle options positions are a more complicated trade than you think.
- • How to calculate expected one standard deviation ranges for any number of days
- • What is the VIX futures curve?
- • Inverted VIX curve
Mentioned in this Episode:
VIX Futures Curve
CBOE VIX Explanation
Podcast on Inverted Yield Curve
What is the Yield Curve Inversion and Why People Care Podcast?