Pricing in a move in options?

Discussion in 'Options' started by turkeyneck, Apr 23, 2012.

  1. You keep hearing traders say x% of a move is priced in in xyz option. How do you get this info by looking at the greeks? Thanks!
  2. [​IMG]
  3. wayneL


    I prefer....
  4. look at the put and the call price at the ATM strikes....
  5. There's several ways and depends on what you're asking for...

    For the one day move:

    Look at the ATM straddle value.

    For movement between two different expirations:

    Calculate the event-related volatility using the forward volatility and use that to calculate the event-related move


    Google forward volatility if you don't understand what it is



    What does naked women have to do with implied moves?
  6. wayneL


    They're Greek
  7. bahaha!!!
  8. There's a couple of threads on this subject here already.