Data-driven analysis of volatility, options strategies, and market structure. Every article includes real scanner data from 595 symbols.
Average True Range measures the magnitude of price movement per bar, including gaps. True Range = max(H-L, |H-PrevClose|, |L-PrevClose|), then averaged over 14 periods. This…
The market cycles through four volatility regimes — Low (VIX < 15), Normal (VIX 15-20), Elevated (VIX 20-30), and Crisis (VIX > 30) — each…
The expected move is the options-implied price range derived from implied volatility, representing the 1-standard-deviation zone where a stock has a 68% probability of staying.…
Long volatility strategies profit from moves larger than the market expects, carrying positive vega and negative theta. This guide covers how to go long vol…
VIX futures trade in contango ~80% of the time, generating 3-7% monthly roll yield that destroys long-volatility ETFs and creates a systematic edge for short-vol…
Historical volatility measures actual past price movement from the standard deviation of log returns. Implied volatility is derived from option prices by reverse-solving Black-Scholes. IV…
VIX1D measures expected 1-day S&P 500 volatility from SPX options expiring the next business day, launched by CBOE in April 2023. This guide covers the…
ES futures move 40-60 points on an average day at normal VIX levels, expanding to 100+ points above VIX 30. This guide covers the VIX-to-daily-range…
How to calculate position size using ATR, the Kelly criterion, VIX-based portfolio scaling, and inverse volatility allocation. Covers the core ATR formula with worked examples,…
Bollinger Bands measure volatility using a standard deviation envelope around a 20-period moving average. When the bands compress (squeeze), a directional breakout is imminent. This…
Implied volatility exceeds realized volatility ~85% of the time by 2-4 percentage points — the volatility risk premium. This guide covers how to harvest that…
S&P 500 stocks lose 30-50% of their implied volatility overnight after earnings. Stocks move less than the options-implied expected move 70-75% of the time, creating…
595 symbols. Updated every 2 minutes. Backtested methodology since 2008.
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