I want to see the probability of Implied Volatility of an underlying moving up or down from its current position. Would it just be 50% probability of going up and 50% of it going down? Because I've also been thinking that you could use historical highs and lows of IV for the underlying, attribute it to a distribution and use the z-score to get the probability of it going above and below the current IV. So what would be the best way to get the probability of IV moving?


closed as off-topic by Attack68, Alex C, LocalVolatility, Helin, amdopt Aug 13 '18 at 12:36

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  • $\begingroup$ To calculate this, you would need a model for IV(t) or IV(k,t) . There are many models, the answer will depend on it. $\endgroup$ – onlyvix.blogspot.com Aug 6 '18 at 4:59