That is a blog shared from the community: Earnings season really started with JP Morgan on Wednesday. The stock had its usual weakness on the day: In the last couple of days, the S&P 500 has been up 120 points (2 to 3%) in a straight line with VIX getting hammered in the meantime. […]
volatility
JP Morgan: Realized vs Implied Volatility
Blog published earlier on the community: https://community.duponttrading.com/c/risk-management/jp-morgan-realized-vs-implied-volatility JP Morgan will release its earnings pre-market tomorrow (13/07/2021). Below is a quick exercise that you could run on any stock: Looking at what is the Implied Move priced by options on earnings. Take the options expiring right after the earnings. Here is a screenshot from Bloomberg: […]
Realized Volatility vs Implied Volatility. Where are we?
I just wanted to make a quick comment on market’s conditions as we recently experienced falling volatility. That is true across asset classes where volatility stands at low level. Below we will be looking at the S&P 500 volatility: realized and implied. Let’s start with a chart for the S&P 500 1month Realized Volatility: For […]