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What is Standard Deviation?
Standard Deviation A statistical measure of the dispersion of returns around the mean. In options, one standard deviation move covers approximately 68% of expected outcomes. The expected move at expiration roughly equals the stock price times implied volatility times the square root of time to expiration.
Complete definition
A statistical measure of the dispersion of returns around the mean. In options, one standard deviation move covers approximately 68% of expected outcomes. The expected move at expiration roughly equals the stock price times implied volatility times the square root of time to expiration.
Example
A stock at $100 with 20% annual IV has a one standard deviation daily move of about $1.26 ($100 * 0.20 / sqrt(252)).
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