You keep hearing traders say x% of a move is priced in in xyz option. How do you get this info by looking at the greeks? Thanks!
Pricing in a move in options?
- Thread starter turkeyneck
- Start date
There's several ways and depends on what you're asking for...
For the one day move:
Look at the ATM straddle value.
For movement between two different expirations:
Calculate the event-related volatility using the forward volatility and use that to calculate the event-related move
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Google forward volatility if you don't understand what it is
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EDIT:
What does naked women have to do with implied moves?
For the one day move:
Look at the ATM straddle value.
For movement between two different expirations:
Calculate the event-related volatility using the forward volatility and use that to calculate the event-related move
---
Google forward volatility if you don't understand what it is
---
EDIT:
What does naked women have to do with implied moves?
There's a couple of threads on this subject here already.