Report Date: 1-Apr-2020
Reports on the largest implied volatility (IV) gainers and decliners for the current trading day, organized by underlying symbol and expiration.
Large IV gainers indicate markets are anticipating higher volatility in the future. This may be the result of pending news, earnings and other uncertainty surrounding the underlying security. Decreasing IV is an indication that market participants are willing to sell risk premium and are anticipating that future volatility will subside. Using these key indicators, investors may find valuable trading opportunities by looking for IV gainers or decliners within a key market sector, expiration date or earnings window.
Sort the tables by clicking on specific column headings. For example, click on the Implied Vol Change column to rank symbols from low to high (click again for high to low), and evaluate possible relationships to Important Dates such as Earnings or Events. Search for specific equities by keyword or symbol in the search box. Click on the icons in the Symbols column to view more information on the specific stock.
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|Stock Info||Option Expiration||
Option Implied Move vs. Historical Moves
(6-Year Historical Avg)
Move Based on the options straddle price, the current implied move between now and expiration. Non-directional, could be up or down.
Move Over the past 6 years of observations within the historical distribution, the absolute average move for periods with the same # of days as the current days to go until expiration.
Abs Avg A ratio of the current implied move to the historical absolute average move. 1.0 is equal. Anything above 1.0 suggests the implied move has a greater magnitude than the historical absolute average.
Move Over the past 6 years of observations within the historical distribution, the maximum absolute move (either direction) for periods with the same # of days as the current days to go until expiration.
Abs Max A ratio of the current implied move to the historical absolute maximum move. 1.0 is equal. Anything above 1.0 suggests the implied move has a greater magnitude than the historical absolute maximum.
Click on the Expiration Date to be taken directly to the option chain for that expiration.
Earnings Key: Earnings Today Confirmed Future Earnings Previous Earnings
Market Chameleon's Implied Volatility Movers Report shows how the current implied volatility for a symbol's particular option expiration has changed since the previous day. Calculating the at-the-money implied volatility (ATM IV) is based on the strikes nearest to the at-the-money spot price, and the change represents the difference from the previous day's closing value.
When comparing the current IV level to the previous day's closing value, a "mover" would be considered any option expiration where the market activity has caused a significant change in calculated IV. When the IV has increased for a particular expiration, this indicates that the options' premiums are getting more expensive, perhaps because demand to buy the options is high or the market is expecting increased activity before the options expire. When IV has decreased, this would suggest that option premiums have gotten less expensive.
At Market Chameleon, we specialize in options trading activity. And options trading is built around volatility. Volatility, in simple terms, is
how much the stock price moves over a certain period of time -- it doesn't necessarily have to be in any particular direction, up or down. The price
of an option is calculated using an expected volatility figure (along with strike, spot price, interest rate, and time left until expiration).
Implied Volatility, then, is taking the market's current options prices and converting it into that volatility figure.
In this report, we take the market's current options prices and convert them into an implied percentage move. This helps us to simplify what we're looking at. It tells us, between now and expiration, roughly how far up or down are options traders expecting the stock price to move? If a stock is currently $100 and the implied move is 10%, that suggests traders are expecting the stock price to move either up or down $10 by the time the options expire.
Just like stock price, knowing whether implied volatility is high or low is dependent upon the history of that symbol. In this report, we calculate the
implied moves (explained in the question above) and compare the current implied move against the history of how this stock has moved in the past.
We compare it against a 6-year distribution, looking at how the stock has moved over time periods that match the same length of time as the current expiration.
If there are 8 days to go until expiration, we look at the stock's price movements over 8-day periods.
As an example, if the current expiration's implied move is 5% over the next 8 days, but the historical data is telling us that the stock on average only moves 3% (in either direction) over an 8-day period, then this would be considered high, relative to the historical. How high or low it is relative to historical is expressed as a ratio in the table above.
On Market Chameleon's Implied Volatility Movers Report, we try to give you a sense for the range of possibilities for the stock price's movements
between now and expiration. Having the average price move is good, but also showing you the maximum price move gives you an idea for
how far the stock has moved at its most extreme.
We display to you in the table above the maximum stock movement (by magnitude, so direction doesn't matter, up or down) over the past 6 years for the same time period. You can then compare the current implied move against the historical maximum, with a value displayed in a ratio above.