Options glossary · Formulas
Expected daily move
The yearly expected move divided by the square root of the number of trading days. At twenty percent implied volatility that is about one percent a day.
The formula
Daily move ≈ yearly move ÷ √(trading days)
Where it comes up
Part 2 of the course, Option pricing: what goes into a price, the straddle approximation, Black-Scholes and where it stops being true. See the course →
The full picture
Three and a half hours with the man who traded these
Sven Hubens, ten years an options market maker at Optiver and Maven, adjunct faculty at The Options Institute at Cboe.
- 3h 32m of video in 58 chapters
- 128 slides
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