Implied volatility as an expected move, and the VIX
Turn an implied volatility number into a rough daily and monthly move, and read the VIX.
Module 11 of 26, Options: how they pay and what moves them. Lesson 4 of 6, about 16 minutes.
The takeaway
IV is an annual percentage. Divide by the square root of 252 for a rough daily move, or by the square root of 12 for a monthly move. The VIX is Cboe’s 30-day implied volatility measure of the S&P 500, built by interpolating options expiring between 23 and 37 days out. It is a price, not a forecast; to get a rough daily move from it, divide by 15.9.
This page is a public summary. The full lesson has the worked examples, an interactive exercise and a short quiz, and sits in the course. Lessons 1 and 2 of Module 1 are free and the rest need a pass.
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