Options glossary · Formulas
Expected move
The average absolute move the market is pricing, which is smaller than the standard deviation. Twenty percent implied volatility is an expected move of about sixteen percent over the year.
The formula
Expected move ≈ 0.8 × standard deviation
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.
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