Goog october options will expire tomorrow. At the close today the volatility on the october calls had a range from 82% to around 94%.
The November calls volatility was trading from 25% to 30%. Is there any way to divine what volatility will be priced in on the october calls around the open. I will assume that the stock will open 540. Obviously this is a guess on where the stock will open but assuming you had the opening value can you price the volatility. I know it will collapse somewhat, should I look at historical measures or what? I put in a screen shot of the near money strikes I am referring to. Thanks in advance.
Here's a good source for research
(not being sarcastic, there is some good research regarding OE activity that can be utilized here).