You observed a stock moves 2% stdev each day usually, except for days of earning announcement. In
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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 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?
Related Book For
Business Statistics
ISBN: 978-0321925831
3rd edition
Authors: Norean Sharpe, Richard Veaux, Paul Velleman
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