These pages shows equity options that have the highest percent increase or decrease in implied volatility. The percent change represents the shift in implied volatility from the previous session's close. A high or low percent change typically indicates the market is expecting a greater movement in the stock's price.
Implied volatility is a theoretical value that measures the expected volatility of the underlying stock over the period of the option. It is an important factor to consider when understanding how an option is priced, as it can help traders determine if an option is fairly valued, undervalued, or overvalued. Generally speaking, traders look to buy an option when the implied volatility is low, and look to sell an option (or consider a spread strategy) when implied volatility is high.
Implied volatility is determined mathematically by using current option prices and the Black-Scholes option pricing model. The resulting number helps traders determine whether the premium of an option is "fair" or not. It is also a measure of investors' predictions about future volatility of the underlying stock. Implied volatility rises when the demand for an option increases and when the market's expectations for the underlying stock is positive. You will see higher-priced option premiums on options with high volatility. On the other hand, implied volatility decreases with a lesser demand and when the underlying stock has a negative outlook. You will see higher-priced option premiums on options with high volatility, and cheaper premiums with low volatility.
It should also be noted that earnings announcements and news releases can have an impact on implied volatility. You may see a rise in implied volatility prior to an announcement, with a sharp drop-off in implied volatility afterwards.
The page is initially sorted in ascending or descending Percent Change in Implied Volatility. You can re-sort the page by clicking on any of the column headings.
In order to be included, an option needs to have volume of greater than 500 and open interest greater than 100.
Options information is delayed a minimum of 15 minutes, and is updated at least once every 15-minutes through-out the day.