Page 4 - Implied Volatility News Today

SGEN's peak comes amid historically low implied volatility

Despite Bitcoin's recent price surge a wave of long squeezes were triggered. Traders turned bearish as Implied Volatility for Bitcoin started to rise.

Logica Capital commentary for the month ended July 31, 2023. Equity markets stumbled a tad in August, and VIX/Implied Volatility didn’t respond, as demonstrated by the concurrent negative from a naïve straddle.

The SPDR S&P 500 ETF Trust (ARCA: SPY) is currently experiencing historically low levels of relative volatility, ranking in the bottom 3 percentile for relative historical volatility over the past twelve months. However, examining the near-term Implied Volatility (IV) term structure reveals interesting patterns.

Many buy-siders believe today’s relative tranquility in equities masks underlying fragility

Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant

Why does a stock’s skew become flat when markets get volatile? If you’ve ever wondered how the shape of skew changes during turbulent times, this article will provide you with the answers.During periods of high volatility, a slope that is typically associated with skew tends to flatten out. As a result, the implied volatility difference […]

An analytic approximation for the implied volatility surface of basket options is introduced

Goldman Sachs breaks down an options strategy that has outperformed the market for the last 27 years, and the 20 trades to make now.

Logica Capital commentary for the month ended July 31, 2023. Markets continued their broad rally in July, with all of the 4 major indices gaining more than +3.0%.