The following video demonstrates how to use the Basic spreadsheet to calculate the Implied Earnings Volatility (IEV) embedded in option prices on any past or current date. This value can be used in conjunction with the historical Realized and Implied Earnings Volatility to design strategies that exploit earnings pricing anomalies.
Brian Johnson
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About Brian Johnson
I have been an investment professional for over 30 years. I worked as a fixed income portfolio manager, personally managing over $13 billion in assets for institutional clients. I was also the President of a financial consulting and software development firm, developing artificial intelligence based forecasting and risk management systems for institutional investment managers.
I am now a full-time proprietary trader in options, futures, stocks, and ETFs using both algorithmic and discretionary trading strategies.
In addition to my professional investment experience, I designed and taught courses in financial derivatives for both MBA and undergraduate business programs on a part-time basis for a number of years. I have also written four books on options and derivative strategies.
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