For those playing this Bell Weather…
"Vol 0 DTE" is the IV from today to expiry date
"forward vol" is the IV between each expiry date
| Date | DTE | Vol_0_DTE | forward vol |
|---|---|---|---|
| 8/30/24 | 3 | 145.0% | 145.0% |
| 9/6/24 | 10 | 92.8% | 57.4% |
| 9/13/24 | 17 | 79.3% | 54.5% |
| 9/20/24 | 24 | 72.8% | 53.7% |
| 9/27/24 | 31 | 68.4% | 50.5% |
| 10/18/24 | 52 | 61.4% | 49.3% |
Current NVDA Forward Volatility
byu/AUDL_franchisee inoptions
Posted by AUDL_franchisee
2 Comments
Helpful actually thank you. I always see the ones 3+ months out at around 58-60% so seems thats around normal for it?
Very useful reminder of local vol dynamics around earnings.