Question: You observed a stock moves 2% stdev each day usually, except for days of earning announcement. In the latter case, it has a stdev of

You observed a stock moves 2% stdev each day usually, except for days of earning announcement. In the latter case, it has a stdev of 10%. Today is a Friday. You are interested in an option that expires in FOUR weeks. Earning announcement will be on the next Friday.

a. What should be annualized IV now?

b. On next Thursday at close, what should be IV?

c. On Friday at close, just after ER, what should be IV?

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a Annualized IV now IV stands for Implied Volatility This is a metric used by investors to forecast ... View full answer

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