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
6 tickers qualified. First five: VZ (Matched the dated research filter. Contract details are not published.), ACN (Matched the dated research filter. Contract details are not published.), T (Matched the dated research filter. Contract details are not published.), MDB (Matched the dated research filter. Contract details are not published.), CIEN (Matched the dated research filter. Contract details are not published.).
Evaluated 166 tickers with the required inputs. Tickers with missing history or ineligible quotes are excluded. At most 50 matches are published.
| # | Ticker | Close | Open interest | Research observation |
|---|---|---|---|---|
| 1 | VZ | 44.42 | 1,047,949 | Matched the dated research filter. Contract details are not published. |
| 2 | ACN | 214.96 | 270,072 | Matched the dated research filter. Contract details are not published. |
| 3 | T | 23.08 | 1,161,371 | Matched the dated research filter. Contract details are not published. |
| 4 | MDB | 356.29 | 281,531 | Matched the dated research filter. Contract details are not published. |
| 5 | CIEN | 359.42 | 123,933 | Matched the dated research filter. Contract details are not published. |
| 6 | JNJ | 253.91 | 382,302 | Matched the dated research filter. Contract details are not published. |
Screens describe what the data shows after the close. They are not trade recommendations; see the disclaimer and the methodology.