JP Morgan: Realized vs Implied Volatility
Blog published earlier on the community:
https://community.duponttrading.com/c/risk-management/jp-morgan-realized-vs-implied-volatility
JP Morgan will release its earnings pre-market tomorrow (13/07/2021).
Below is a quick exercise that you could run on any stock:
- Looking at what is the Implied Move priced by options on earnings.
Take the options expiring right after the earnings.
Here is a screenshot from Bloomberg:
Calculation:
Calls = (2.65 + 2.75) / 2 = 2.7
Puts = (1.81 + 1.93) / 2 = 1.87
=> 2.7 + 1.87 = 4.57
=> 4.57 / 155.77 (or last) = 2.94%
The option market is pricing a 2.94% move for JPM share.
vs
- Historical Moves for past Earnings:
Below is table with the latest 9 moves for JPM on earnings day.
For more details on how to calculate Earnings Implied Move, you should watch:
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