All books

Professional

Apps About Coach Log in Start reading

Quantitative Finance · Glossary

What is Implied volatility spread?

Definition 15.2 Strategies I: Equities and Futures · Chapter 15 — Options-Implied Signals for Stocks

A stock’s implied volatility spread is the difference between the implied volatilities of its calls and its puts at matched strikes and maturities; under put–call parity it is zero, and a positive spread means calls are relatively expensive.

Read in context →