The average absolute move the market is pricing, which is smaller than the standard deviation. Twenty percent implied volatility is an expected move of about sixteen percent over the year.
The formula
Expected move ≈ 0.8 × standard deviation
Where it comes up
Part 2 of the course, Option pricing: what goes into a price, the straddle approximation, Black-Scholes and where it stops being true. See the course →
The full picture
3 hours 24 minutes with the man who traded these
Sven Hubens, ten years an options market maker at Optiver and Maven, adjunct faculty at The Options Institute at Cboe.
- 3h 24m of video in 58 chapters
- All 128 slides from the course
- Subtitles in 16 languages
- A certificate a firm can verify
See the course
€59.95 incl. 21% VAT · six months of access
Education, not advice. Sophron® is not licensed by the AFM to give individual investment advice.