Implied Volatility definition

Implied Volatility. The estimated volatility of the price of the underlying market between the time of calculation and the time of expiry.
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Implied Volatility means the Chicago Board of Options Exchange OEX Volatility Index ("VIX"). Bloomberg code VIX Index (go) SCHEDULE 6 TO FINANCIAL WARRANTY AGREEMENT LIQUIDITY The Multiple shall be adjusted as follows (subject to the Calculation Agent determining, in its sole discretion, if a higher Multiple shall be used):
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Implied Volatility has the meaning provided in Schedule 5.
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Examples of Implied Volatility in a sentence

  • The Clearing House builds for each Currency Pair or ForexClear Currency Pair an FX Implied Volatility Surface using the FX Volatility Points.

  • Implied Volatility The estimated volatility of an underlying security's price and derivatives price.

  • Volatility derivatives are derivatives whose price depends on Historic Volatility or Implied Volatility or both.

  • Implied Volatility The estimated volatility of an underlying security's price and derivatives price.Interest Rate Risk The risk stemming from the movement of Interest rates in adverse direction.

  • Option Price Implied Volatility of Major Currencies and the Renminbi = = = = = =AUD Australian dollar, CNY renminbi, EUR euro, JPY yen, NZD New Zealand dollar, USD US dollar.Note: The chart displays the 1-month at-the-money implied volatility of the various currencies.

  • However doing so through the Implied Volatility re-parameterisation is quite technical and can prove counter- intuitive.

  • Härdle, and Enno Mammen, 2007, A Semiparametric Factor Model for Implied Volatility Surface Dynamics, Journal of Financial Econometrics 5, 189–218.Fengler, Matthias R., Wolfgang K.

  • As described above, the current Implied Volatility Model could result in dramatic increases in Clearing Member margin requirements in response to a sudden, large shock in market volatility.

  • The asymptotic formula happens to lose accuracy in such market environments where56 III Mass at Zero and Small-Strike Implied Volatility Expansions the CEV exponent (the parameter β) is chosen close to zero: The parameter β governs the dynamics of the smile, and small values are usually chosen on markets where the forward rate is close to zero and for long-dated options [17, 89], which are precisely those environments where the original asymptotic formula fails.

  • They examine whether the Brexit referendum leads to any changes in the degree of persistence of the FTSE100 Implied Volatility Index (IVI) and the implied volatilities (IVs) of the GBP vis- à-vis the other main currencies traded in the FX market, namely, the EUR, the USD, and the Japanese yen (JPY).


More Definitions of Implied Volatility

Implied Volatility. The estimated volatility of the price of the underlying market between the time of calculation and the time of expiry. “Initial Margin” The funds required by Basis for a user to open (and maintain) a trade. “IP Rights” IP rights are defined in Section 2.19). “Law” All applicable laws, rules, regulations, judgements, decrees, treaties, ordinances, orders and rulings, interpretations and statements of policy, of any Governmental Authority or self-regulatory organisation, authority, agency or body, in each case which has jurisdiction over Basis, the User, or their respective operations. "Long Position" An Open Position that results from the purchase of the Base Currency. “Marked to Market” The value of an open position calculated at the current Deal price.
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Implied Volatility means for any Exchange Business Day, the mid-market implied volatility of the relevant Shares, as determined by the Calculation Agent by interpolating or extrapolating from the most comparable listed put or call option (which shall be of the same Option Type as the Equity Option Transaction being cancelled) on the relevant Shares as determined by the Calculation Agent taking into account the nearest strike price, maturity and “in-the-money” or “out-of-the-money” amount, as the case may be, and such other factors that the Calculation Agent deems appropriate. To the extent that such a listed option doesnot exist or the Calculation Agent determines that the market for such listed option is not sufficiently liquid for the purpose of the relevant calculation, the Implied Volatility will be determined by the Calculation Agent by whatsoever means it deems appropriate;
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Related to Implied Volatility

  • Volatility means, in respect of the price of a security, a numerical measure of the tendency of the price to vary over time.

  • Volatility Buffer means, with respect to a Transaction, an amount equal to the product of (a) the Factor applicable to the Transaction and (b) the Notional Amount of the Transaction.

  • S&P Volatility Factor means 277% or such other potential dividend rate increase factor as S&P advises the Corporation in writing is applicable.

  • Dilution Volatility Component means, at any time, the product (expressed as a percentage) of (i) the difference between (a) the highest three-month rolling average Dilution Ratio over the 12-month period then most recently ended and (b) the Adjusted Dilution Ratio, and (ii) a fraction, the numerator of which is equal to the amount calculated in (i)(a) of this definition and the denominator of which is equal to the amount calculated in (i)(b) of this definition.

  • Trading Volume means the volume of shares of the Company's Common Stock that trade between 9:30 AM and 4:00 PM, New York City Time, on any Business Day, and shall expressly exclude any shares trading during "after hours" trading.

  • Reserve Price means the minimum price at which a bid will be accepted on the auction portal from a participating Qualified bidder

  • MSCF means one thousand standard cubic feet.

  • Index Price on a given date means the weighted average (weighted in accordance with the factors listed above) of the closing prices of the companies comprising the Index Group.

  • Cubic foot of gas means the amount of gas required to fill a cubic foot of space when the gas is at an absolute pressure of fourteen and seventy-three hundredths (14.73) pounds per square inch at a temperature of sixty (60) degrees Fahrenheit.

  • Peak tube potential means the maximum value of the potential difference across the x-ray tube during an exposure.

  • MMBtu means one million British Thermal Units.

  • Baseline Value for each of the Company and the Peer Companies means the dollar amount representing the average of the Fair Market Value of one share of common stock of such company over the five consecutive trading days ending on, and including, the Effective Date.

  • Congestion Price means the congestion component of the Locational Marginal Price, which is the effect on transmission congestion costs (whether positive or negative) associated with increasing the output of a generation resource or decreasing the consumption by a Demand Resource, based on the effect of increased generation from or consumption by the resource on transmission line loadings, calculated as specified in Operating Agreement, Schedule 1, section 2, and the parallel provisions of Tariff, Attachment K-Appendix.

  • Linear Interpolation means the straight-line interpolation by reference to two rates based on the Reference Rate or the ISDA Rate, as the case may be, one of which will be determined as if the Specified Duration were the period of time for which rates are available next shorter than the length of the affected Interest Period and the other of which will be determined as if the Specified Duration or the Designated Maturity, as the case may be, were the period of time for which rates are available next longer than the length of such Interest Period.

  • Mid-Market Swap Rate means for any Reset Period the mean of the bid and offered rates for the fixed leg payable with a frequency equivalent to the frequency with which scheduled interest payments are payable on the Notes during the relevant Reset Period (calculated on the day count basis customary for fixed rate payments in the Relevant Currency as determined by the Calculation Agent) of a fixed-for-floating interest rate swap transaction in the Relevant Currency which transaction (i) has a term equal to the relevant Reset Period and commencing on the relevant Reset Date, (ii) is in an amount that is representative for a single transaction in the relevant market at the relevant time with an acknowledged dealer of good credit in the swap market and (iii) has a floating leg based on the Mid-Swap Floating Leg Benchmark Rate for the Mid-Swap Maturity (calculated on the day count basis customary for floating rate payments in the Relevant Currency as determined by the Calculation Agent);

  • SAFE Price means the price per share equal to (x) the Valuation Cap divided by (y) the Fully Diluted Capitalization.

  • The Product means all of the software or softwares, all hardware, database, middleware, operating systems and/or other materials which the Supplier is required to supply to the Bank under the Contract;

  • Historical Fair Market Value means the volume weighted average price of the Ordinary Shares during the ten (10) trading day period ending on the trading day prior to the first date on which the Ordinary Shares trade on the applicable exchange or in the applicable market, regular way, without the right to receive such rights. No Ordinary Shares shall be issued at less than their par value.

  • Day-ahead Congestion Price means the Congestion Price resulting from the Day-ahead Energy Market.

  • Daily Market Price means the price of a share of Common Stock on the relevant date, determined (a) on the basis of the last reported sale price regular way of the Common Stock as reported on the Nasdaq Stock Market's National Market (the "NNM"), or if the Common Stock is not then listed on the NNM, as reported on such national securities exchange upon which the Common Stock is listed, or (b) if there is no such reported sale on the day in question, on the basis of the average of the closing bid and asked quotations regular way as so reported, or (c) if the Common Stock is not listed on the NNM or on any national securities exchange, on the basis of the average of the high bid and low asked quotations regular way on the day in question in the over-the-counter market as reported by the National Association of Securities Dealers Automated Quotation System, or if not so quoted, as reported by National Quotation Bureau, Incorporated, or a similar organization.

  • Average Daily Trading Volume means the average trading volume of the Company’s Common Stock in the ten (10) Trading Days immediately preceding the respective Put Date.

  • SOFR Compounded Index means the Compounded SOFR rate as published at 15:00 (New York time) by Federal Reserve Bank of New York (or a successor administrator of SOFR) on the website of the Federal Reserve Bank of New York, or any successor source; and

  • Index Start Value means 1,000 index points and represents the Index Closing Value on Index Calculation Day T=0 for the purposes of calculating the index in accordance with C).

  • Heating Value means the heat released by combustion of one pound of waste or fuel measured in Btu on an as received basis. For solid fuels, the heating value shall be determined by use of ASTM Standard D2015-66.

  • Market Price as of any date, (i) means the average of the last reported sale prices for the shares of Common Stock on the OTCBB for the five (5) Trading Days immediately preceding such date as reported by Bloomberg, or (ii) if the OTCBB is not the principal trading market for the shares of Common Stock, the average of the last reported sale prices on the principal trading market for the Common Stock during the same period as reported by Bloomberg, or (iii) if market value cannot be calculated as of such date on any of the foregoing bases, the Market Price shall be the fair market value as reasonably determined in good faith by (a) the Board of Directors of the Company or, at the option of a majority-in-interest of the holders of the outstanding Warrants by (b) an independent investment bank of nationally recognized standing in the valuation of businesses similar to the business of the corporation. The manner of determining the Market Price of the Common Stock set forth in the foregoing definition shall apply with respect to any other security in respect of which a determination as to market value must be made hereunder.

  • Fair Market Price means the average value at the relevant time and place (of the requirement to determine the Fair Market Price) to be derived from the average of three independent broker valuations by a broker appointed by Grain Trade Australia, with the valuations to take into account the Grade and variety and taking into account the cost of insurance, levies, taxes, charges, Freight and associated costs.