Implied volatility (IV) is a measure of how expensive options are and thus how much the market thinks a given stock is expected to move in the future. Though this is often quoted as a single percentage for every underlying market,.
Today’s conversation is centered aroundof the S&P 500 using the following timeframes:
- 10 Days (VXST)
- 30 Days (VIX)
- 3 Months (VXV)
- 6 to 9 Months (VXMT)
With data going back to 2012, Tom and Tony show that long-term IV trades higher than the short-term alternative the majority of the time. However, short-term volatility has traded with a wider high to low range and tends to rise higher than long-term IV amid broad rises in volatility.
Watch the segment above for more statistics and context around the dynamics of implied volatility.