quant/tradingalgo - expected-move
QUANT/TRADINGALGO
Forward Volatility based Expected Move
Interactive Term Structure & Expected Move Analysis
Duration
15D
30D
90D
1Y
5Y
Max Vol
40%
100%
200%
Day Count Basis
Trading (252)
Calendar (365)
Event Day Expected Move (1σ)
NO EVENT DETECTED
Event Candidate
-
Current IV
-
Ideal IV (No Event)
-
1-Day Event Expected Move (1σ)
±0.0%
Extra Move to Expiry
±0.0%
Volatility Term Structure
Point 1
5
d @
6.9
%
Point 2
18
d @
7.9
%
Forward Vol
13
d @
8.5
%
Expected Move by Duration
Cumulative (
18
d)
±1.8%
Forward Period
±1.6%