Brian Lee
Jul 22, 2025
\(DV_{low}\) marks the lower bound of the expected daily range. Starting from the opening price Underlying Opening Price (\(UP_{opening}\)), subtract the daily volatility portion:
\[DV_{low} = UP_{opening} - UP_{opening} \times DV\]
If the intraday price drops below \(DV_{low}\), the move is larger than what daily volatility predicts.