SLV Option Return Rate
AMZN Commentator$Intel(INTC.US)
〖Trivia〗Episode 2:
Inferring market expectations for earnings volatility based on at-the-money straddle options.
Taking INTC as an example: The prices of the nearest-term straddle options closest to the current stock price are 2.01 and 1.91 respectively, with the current price at 38.12. The calculation process is as follows:
1️⃣2.01+1.91=3.92
2️⃣3.92/38.12=0.1028331584
From this, it can be inferred that the stock price fluctuation range of INTC on the 23rd earnings day (with only 68% confidence): around ±10%
There is also another method based on implied volatility, but the formula is a bit complex and not very intuitive, so I won't share it.
$Unitedhealth(UNH.US)$Amazon(AMZN.US)
$Unitedhealth(UNH.US)$Alphabet - C(GOOG.US)$Amazon(AMZN.US)$JD.com(JD.US)
VIX Fear Index Trivia: The "16 Rule" roughly determines the day's market volatility.
For example: Today's $VIX price is 20.64
Divide VIX by 16, and you'll get the expected daily volatility.
20.64/16=1.29
The estimated daily market fluctuation range is 1.29%
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