In financial mathematics, the implied volatility (IV) of an option contract is that value of the volatility of the underlying instrument which, when input...

Volatility smiles are implied volatility patterns that arise in pricing financial options. It is a parameter (implied volatility) that is needed to be...

deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived...

Chicago Board Options Exchange's CBOE Volatility Index, a popular measure of the stock market's expectation of volatility based on S&P 500 index options. It...

mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands...

the implied volatility of the option, and a forecast of future realized volatility of the option's underlying. In volatility arbitrage, volatility rather...

Volatility risk is the risk of an adverse change of price, due to changes in the volatility of a factor affecting that price. It usually applies to derivative...

long-observed features of the implied volatility surface such as volatility smile and skew, which indicate that implied volatility does tend to vary with respect...

assuming a volatility a priori and computing prices from it, one can use the model to solve for volatility, which gives the implied volatility of an option...

A local volatility model, in mathematical finance and financial engineering, is an option pricing model that treats volatility as a function of both the...

Forward volatility is a measure of the implied volatility of a financial instrument over a period in the future, extracted from the term structure of...

moneyness; this is useful in constructing an implied volatility surface, or more simply plotting a volatility smile. This section outlines moneyness measures...

their implied volatility will change. Interest rate risk, the risk that interest rates (e.g. Libor, Euribor, etc.) or their implied volatility will change...

asset's current implied volatility. A long butterfly position will make profit if the future volatility is lower than the implied volatility. A long butterfly...

equity premium and a measure of implied volatility (in this case VIX, the Chicago Board Options Exchange Volatility Index). Dennis, Mayhew & Stivers...

margin – the implied volatility – of the DAX anticipated on the derivatives market. The VDAX indicates in percentage points the volatility to be expected...

(A-VIX), is a financial market product, which is traded based on the implied volatility in the underlying Australian equity index. The A-VIX is a market instrument...

caplet simply by quoting its volatility. This is what happens in the market. The volatility is known as the "Black vol" or implied vol. As negative interest...

volatility index providing an intraday, VIX-like measure for any of US securities and exchange traded instruments. IVX is the abbreviation of Implied...

mathematical finance, the stochastic volatility jump (SVJ) model is suggested by Bates. This model fits the observed implied volatility surface well. The model is...

the greater its implied volatility. A positive risk reversal means the implied volatility of calls is greater than the implied volatility of similar puts...

the VIX index, but instead of measuring implied volatility based on a normal distribution, it measures an implied risk of future returns realizing outlier...

§ Portfolio theory above. Closely related is the volatility smile, where, as above, implied volatility – the volatility corresponding to the BSM price – is observed...

volatility refers to the volatility implied by the price of an option spread trade involving two or more options. Essentially, it is the volatility at...

consistent with observed volatility patterns. There exist both implied binomial trees, often Rubinstein IBTs (R-IBT), and implied trinomial trees, often...

in implied volatility at different strike prices represents the market's view of skew, and is called volatility skew. (In pure Black–Scholes, implied volatility...

general (not related to a particular company or industry) or the implied volatility will change. When it comes to long-term investing, equities provide...

Bachelier Model , which summarizes the results on volatility conversion, risk management, stochastic volatility, and barrier options pricing to facilitate the...

have low implied volatility are also less expensive and more impactful. (A successful short squeeze will dramatically increase implied volatility). The opposite...

participants than implied volatility (IV) measures. The index was first introduced during the webcast The Long & Short of It – New Measures of Volatility on September...