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IVX Monitor
IVX is a volatility (finance), volatility index providing an intraday, VIX-like measure for any of US securities and exchange traded instruments. IVX is the abbreviation of Implied Volatility Index and is a popular measure of the implied volatility of each individual stock. IVX represents the cost level of the options for a particular security and comparing to its historical levels one can see whether IVX is high or low and thus whether options are more expensive or cheaper. IVX values can be compared for the stocks within one industry to find names which significantly differ from what is observed in overall sector. Specifications IVX is an expected stock volatility over a future period. It is derived from current option prices and it is available for any optionable security To calculate this index they use a proprietary weighting technique factoring the Delta and Vega of each option participating in its calculations. In total, 8 ATM options (4 calls and 4 puts) are used with ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
IVX Monitor
IVX is a volatility (finance), volatility index providing an intraday, VIX-like measure for any of US securities and exchange traded instruments. IVX is the abbreviation of Implied Volatility Index and is a popular measure of the implied volatility of each individual stock. IVX represents the cost level of the options for a particular security and comparing to its historical levels one can see whether IVX is high or low and thus whether options are more expensive or cheaper. IVX values can be compared for the stocks within one industry to find names which significantly differ from what is observed in overall sector. Specifications IVX is an expected stock volatility over a future period. It is derived from current option prices and it is available for any optionable security To calculate this index they use a proprietary weighting technique factoring the Delta and Vega of each option participating in its calculations. In total, 8 ATM options (4 calls and 4 puts) are used with ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Volatility (finance)
In finance, volatility (usually denoted by ''σ'') is the degree of variation of a trading price series over time, usually measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Volatility terminology Volatility as described here refers to the actual volatility, more specifically: * actual current volatility of a financial instrument for a specified period (for example 30 days or 90 days), based on historical prices over the specified period with the last observation the most recent price. * actual historical volatility which refers to the volatility of a financial instrument over a specified period but with the last observation on a date in the past **near synonymous is realized volatility, the square root of the realized variance, in turn calculated using the sum of squ ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Implied Volatility
In financial mathematics, the implied volatility (IV) of an option contract is that value of the volatility of the underlying instrument which, when input in an option pricing model (such as Black–Scholes), will return a theoretical value equal to the current market price of said option. A non-option financial instrument that has embedded optionality, such as an interest rate cap, can also have an implied volatility. Implied volatility, a forward-looking and subjective measure, differs from historical volatility because the latter is calculated from known past returns of a security. To understand where implied volatility stands in terms of the underlying, implied volatility rank is used to understand its implied volatility from a one-year high and low IV. Motivation An option pricing model, such as Black–Scholes, uses a variety of inputs to derive a theoretical value for an option. Inputs to pricing models vary depending on the type of option being priced and the pricing m ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
S&P 500
The Standard and Poor's 500, or simply the S&P 500, is a stock market index tracking the stock performance of 500 large companies listed on stock exchanges in the United States. It is one of the most commonly followed equity indices. As of December 31, 2020, more than $5.4 trillion was invested in assets tied to the performance of the index. The S&P 500 index is a free-float weighted/capitalization-weighted index. As of August 31, 2022, the nine largest companies on the list of S&P 500 companies accounted for 27.8% of the market capitalization of the index and were, in order of highest to lowest weighting: Apple, Microsoft, Alphabet (including both class A & C shares), Amazon.com, Tesla, Berkshire Hathaway, UnitedHealth Group, Johnson & Johnson and ExxonMobil. The components that have increased their dividends in 25 consecutive years are known as the S&P 500 Dividend Aristocrats. The index is one of the factors in computation of the Conference Board Leading Economic Index ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Put–call Parity
In financial mathematics, put–call parity defines a relationship between the price of a European call option and European put option, both with the identical strike price and expiry, namely that a portfolio of a long call option and a short put option is equivalent to (and hence has the same value as) a single forward contract at this strike price and expiry. This is because if the price at expiry is above the strike price, the call will be exercised, while if it is below, the put will be exercised, and thus in either case one unit of the asset will be purchased for the strike price, exactly as in a forward contract. The validity of this relationship requires that certain assumptions be satisfied; these are specified and the relationship is derived below. In practice transaction costs and financing costs (leverage) mean this relationship will not exactly hold, but in liquid markets the relationship is close to exact. Assumptions Put–call parity is a static replication, and t ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Interpolation
In the mathematical field of numerical analysis, interpolation is a type of estimation, a method of constructing (finding) new data points based on the range of a discrete set of known data points. In engineering and science, one often has a number of data points, obtained by sampling or experimentation, which represent the values of a function for a limited number of values of the independent variable. It is often required to interpolate; that is, estimate the value of that function for an intermediate value of the independent variable. A closely related problem is the approximation of a complicated function by a simple function. Suppose the formula for some given function is known, but too complicated to evaluate efficiently. A few data points from the original function can be interpolated to produce a simpler function which is still fairly close to the original. The resulting gain in simplicity may outweigh the loss from interpolation error and give better performance in ca ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Future Markets
A futures exchange or futures market is a central financial exchange where people can trade standardized futures contracts defined by the exchange. Futures contracts are derivatives contracts to buy or sell specific quantities of a commodity or financial instrument at a specified price with delivery set at a specified time in the future. Futures exchanges provide physical or electronic trading venues, details of standardized contracts, market and price data, clearing houses, exchange self-regulations, margin mechanisms, settlement procedures, delivery times, delivery procedures and other services to foster trading in futures contracts. Futures exchanges can be organized as non-profit member-owned organizations or as for-profit organizations. Futures exchanges can be integrated under the same brand name or organization with other types of exchanges, such as stock markets, options markets, and bond markets. Non-profit member-owned futures exchanges benefit their members, who earn c ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Equity Market
A stock market, equity market, or share market is the aggregation of buyers and sellers of stocks (also called shares), which represent ownership claims on businesses; these may include ''securities'' listed on a public stock exchange, as well as stock that is only traded privately, such as shares of private companies which are sold to investors through equity crowdfunding platforms. Investment is usually made with an investment strategy in mind. Size of the market The total market capitalization of all publicly traded securities worldwide rose from US$2.5 trillion in 1980 to US$93.7 trillion at the end of 2020. , there are 60 stock exchanges in the world. Of these, there are 16 exchanges with a market capitalization of $1 trillion or more, and they account for 87% of global market capitalization. Apart from the Australian Securities Exchange, these 16 exchanges are all in North America, Europe, or Asia. By country, the largest stock markets as of January 2022 are in th ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Implied Volatility
In financial mathematics, the implied volatility (IV) of an option contract is that value of the volatility of the underlying instrument which, when input in an option pricing model (such as Black–Scholes), will return a theoretical value equal to the current market price of said option. A non-option financial instrument that has embedded optionality, such as an interest rate cap, can also have an implied volatility. Implied volatility, a forward-looking and subjective measure, differs from historical volatility because the latter is calculated from known past returns of a security. To understand where implied volatility stands in terms of the underlying, implied volatility rank is used to understand its implied volatility from a one-year high and low IV. Motivation An option pricing model, such as Black–Scholes, uses a variety of inputs to derive a theoretical value for an option. Inputs to pricing models vary depending on the type of option being priced and the pricing m ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
