There is a famous option strategyð played on volatilityð. Where people go short on volatility, generally, this strategy is used before any significant event or earnings release. The basic phenomenon is that the Implied Volatility shoots up before the event and drops after the event, while the volatility of the security does not increase in most of the scenarios. ðđ
I have tried to create an Indicator using which you can analyse the historical change in Implied Volatility Vs Historic Volatility. To get a basic idea of how the security moved during different events.
Notes: a) Implied Volatility is calculated using the bisection method and Black 76 model option pricing model. b) For the risk-free rate I have fetched the price of the â10-Year Indian Government Bondâ price and calculated its yield to be used as our Risk-Free rate.