Forecast volatility above implied volatility
Where does a historical-volatility forecast exceed the volatility priced into options?
Matched-horizon volatility forecasts compared with constant-maturity ATM implied volatility. A forecast is uncertain; a discount is a research signal, not evidence of a profitable trade. Data through close. Descriptive only, not a recommendation.
At a glance
Results unavailable: The research publication and this page have different dates. Results are withheld until they agree. This is not a zero-match result.
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Screens describe what the data shows after the close. They are not trade recommendations; see the disclaimer and the methodology.