Is there a greek that denotes the expected change in IV as the underlying moves? For instance, SFCC is going up today, so the IV is going down. The Jan 12.5 call, which ostensibly has a delta of .70, is moving up much more slowly, as if the delta were more like .33. Just curious if there's a way to quantify this.
Vega is the measure of the change in the price of an option for 1% changes in iV. EDIT: Ahh you are referring to a measure of stock price movement changing IV not IV change affecting option premium...in that case, no as was pointed out below.
Not with any accuracy, Loufah. There isn't a closed form solution to calculate the forward vol; it's a prediction. Vols typically rise[fall] in declines[rallies], but it's not quantifiable, any more so than predicting the forward stat or atm implied vol. You can use interpolation techniques to approximate any discrete, mid-strike vol-change at price based on the vol-smile, but it's not robust.