VAY™ (Volatility Adjusted Yield) tells option sellers whether they're getting paid enough for the risk they're taking. One number. Right inside your broker.
How it works
VAY™ tells you whether an option's premium is expensive or cheap compared to the past. It compares the yield of the 30-day at-the-money option to the stock's 30-day realized volatility, giving you a single number that shows how well you're being compensated for the risk you're taking.
A high VAY™ means the premium is rich relative to the stock's movement in the last 30 days — ideal for sellers. A low VAY™ means you're not getting paid enough for the risk — a signal to look elsewhere or consider buying.
Premium is low relative to volatility. Poor risk/reward for sellers.
Premium is roughly in line with the stock's movement. Proceed with caution.
Premium is rich relative to volatility. Favorable for sellers.
Try it yourself
Join the Define Your Risk™ list and we'll send you the VAY™ Chrome Extension so you can see Volatility Adjusted Yield right inside Fidelity, Robinhood, and thinkorswim.
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