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Implied volatility (IV)

The annualized volatility that current option prices imply for the underlying; a measure of how expensive options are.

The volatility smile across strikesImplied volatility plotted against strike, dipping near the money and turning up at both ends, more steeply on the downside.Implied volatility32%28%24%20%8090110120Puts below the money cost moreFar calls cost more tooLowest IV near the moneyATM 100Strike price
The volatility smile. Options on the same stock and the same expiry are not priced off one volatility. Strikes near the money carry the lowest implied volatility, and it rises towards both ends — usually faster on the downside, which tilts the smile into a skew.

IV is backed out of option prices using a pricing model. High IV means the market expects big moves and options are expensive; low IV means the opposite. IV rises into events and in selloffs, and falls when uncertainty resolves (iv-crush).

IV is only meaningful relative to the asset's own history, which is what iv-rank captures. A one-standard-deviation expected move can be estimated as price x IV x the square root of days / 365.

Example: a $200 stock with 40% IV has an expected one-standard-deviation move over 30 days of about $200 x 0.40 x sqrt(30/365) = $23.

Related: iv-rank, iv-crush, vega, volatility, extrinsic-value

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