Volatility Expansion

Volatility Expansion is a change in a measure of market volatility such as an increase in the daily trading range (high to low), or if the opening price gaps sharply up (or down) sharply.

When we sell options in a high volatility environment, we are hoping volatility will decrease and revert back to a more normal average range.

Volatility Expansion is an increase in volatility, or how quickly and far prices spread out.