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?

  • $\begingroup$ 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