Brian Lee
Aug 12, 2025
Part of: Trading
Option Greeks By Dan Passarelli
Passarelli uses Implied Volatility (\(IV\)) instead of HV30 to estimate a stock’s expected one-day price movement. The formula is nearly identical to the one used for Daily Volatility (\(DV\)), just substituting IV for HV30:
\[ \frac{IV}{\sqrt{256}} \]
See also (Hull 2016, 307).