Net volatility refers to the volatility implied by the price of an option spread trade involving two or more options. Essentially, it is the volatility at which the theoretical value of the spread trade matches the price quoted in the market, or, in other words, the implied volatility of the spread.
Read more about Net Volatility: Formula, Example, Interpretation, See Also
Famous quotes containing the word net:
“it was you untying the snarls and knots,
the webs, all bloody and gluey;
you with your twelve tongues and twelve wings
beating, wresting, beating, beating
your way out of childhood,
that airless net that fastened you down.”
—Anne Sexton (1928–1974)