SpotGamma Implied Volatility
This is how much movement SpotGamma model’s forecast for the next trading day in the S&P 500 which can be found here. This measurement is based on the opening to close prices.
For example if the SIV is 1% when the S&P500 opens at 4000, we would look for a maximum closing level of either 4040 or 3960.
Note this calculation is a 1 standard deviation estimate, which suggests an accuracy of 68%.
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