Implied volatility (IV) is a measure of the market's expectation of a stock's or option's future price fluctuations, derived from the prices of options on that asset. It reflects the anticipated volatility of the underlying asset over the option's lifespan, expressed as an annualized percentage. Higher IV indicates greater expected price swings, often due to upcoming events like earnings reports or market uncertainty, while lower IV suggests more stable price expectations.
IV is calculated using option pricing models like Black-Scholes, where it’s the volatility value that makes the model’s theoretical option price match the market price. It’s not a prediction of direction (up or down) but of the magnitude of potential price changes. Traders use IV to gauge whether options are relatively cheap or expensive, with high IV often signaling overpriced options and low IV suggesting undervaluation. It’s also a key component in options strategies, as it affects premiums and the likelihood of profitable trades.
What is IV- Implied volatility
NewLeaf2021 发表评论于
隐含波动率（IV）与实际波动率（realized volatility）的区别简要翻译成中文如下：
实际波动率是资产的实际统计波动性，反映其价格波动的幅度（例如，比特币的实际波动率较高）。隐含波动率则是嵌入期权价格中的波动性，反映了市场交易者对该资产波动性的预期。
历史上，长期来看隐含波动率通常高于实际波动率。这是因为大多数基金无法为客户承担无限风险的空头期权交易，导致期权市场供需失衡，买家多于卖家，从而推高了隐含波动率。
因此，做空波动率（卖出期权）存在长期正收益（+EV）的优势，但收益模式类似于扑克中激进型玩家：通过小额频繁获利积累收益，但偶尔可能因高风险操作导致全盘亏损。这种风险特征对许多人来说难以承受，但对于能很好控制恐惧心理的人（如《徒手攀岩》中的Alex Honnold），卖出期权是一个正收益策略。
然而，如果像某些公司那样采用马丁格尔策略（加倍下注），则极为冒险，堪称业内俗语“在压路机前捡硬币”，迟早会导致账户爆仓。
实际波动率是资产的实际统计波动性，反映其价格波动的幅度（例如，比特币的实际波动率较高）。隐含波动率则是嵌入期权价格中的波动性，反映了市场交易者对该资产波动性的预期。
历史上，长期来看隐含波动率通常高于实际波动率。这是因为大多数基金无法为客户承担无限风险的空头期权交易，导致期权市场供需失衡，买家多于卖家，从而推高了隐含波动率。
因此，做空波动率（卖出期权）存在长期正收益（+EV）的优势，但收益模式类似于扑克中激进型玩家：通过小额频繁获利积累收益，但偶尔可能因高风险操作导致全盘亏损。这种风险特征对许多人来说难以承受，但对于能很好控制恐惧心理的人（如《徒手攀岩》中的Alex Honnold），卖出期权是一个正收益策略。
然而，如果像某些公司那样采用马丁格尔策略（加倍下注），则极为冒险，堪称业内俗语“在压路机前捡硬币”，迟早会导致账户爆仓。
NewLeaf2021 发表评论于
By Lit N
But in short, there’s “realized volatility” which is the actual statistical volatility of some asset (how much is moves around… like BTC has a high realized volatility) then there’s “implied volatility” which is baked into the price of the corresponding option price. So it is what the market participants trading those options believe is the volatility of that asset.
IV tends to be higher than realized volatility over long periods of time historically, because most funds can’t put on unlimited risk bets like short options for their clients, so the supply and demand imbalance creates more buyers of options than sellers, and pushes the implied volatility higher than the realized volatility.
So there is permanent edge in being short volatility (short options) but while +EV, your profits are shaped like that of a LAG (loose aggressive) poker player in that you collect a lot of small pots bluffing people, but sometimes blow out your whole stack triple barreling into the nuts.
That sort of risk profile is too much for many people to stomach, but for those that have a strong control of their fear receptors like Alex Honnold from Free Solo, it’s a pretty +EV strategy to sell options.
Where it gets reckless is when you martingale it like the traders at this particular firm. That’s a formula for inevitable blowout. It’s called “picking up nickels in front of a steamroller” in the industry.
But in short, there’s “realized volatility” which is the actual statistical volatility of some asset (how much is moves around… like BTC has a high realized volatility) then there’s “implied volatility” which is baked into the price of the corresponding option price. So it is what the market participants trading those options believe is the volatility of that asset.
IV tends to be higher than realized volatility over long periods of time historically, because most funds can’t put on unlimited risk bets like short options for their clients, so the supply and demand imbalance creates more buyers of options than sellers, and pushes the implied volatility higher than the realized volatility.
So there is permanent edge in being short volatility (short options) but while +EV, your profits are shaped like that of a LAG (loose aggressive) poker player in that you collect a lot of small pots bluffing people, but sometimes blow out your whole stack triple barreling into the nuts.
That sort of risk profile is too much for many people to stomach, but for those that have a strong control of their fear receptors like Alex Honnold from Free Solo, it’s a pretty +EV strategy to sell options.
Where it gets reckless is when you martingale it like the traders at this particular firm. That’s a formula for inevitable blowout. It’s called “picking up nickels in front of a steamroller” in the industry.
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