What does single day implied volatility represent?

Single day implied volatility reflects the market's expectations regarding future price movement of a stock specifically for that day. It is derived from the prices of options, indicating how much the market anticipates the stock price will fluctuate, based on current market conditions and the specific time frame of one trading day.

This concept is crucial for traders because it helps in assessing how much risk is expected for a given stock on that particular day, which can influence trading strategies, option pricing, and risk management decisions.

Understanding this measure is fundamental for those in options trading and analysis, as it provides insight into market sentiment and potential price action for short-term trades, setting it apart from other measures like average movement over a longer term or annualized volatility, which encapsulates broader expectations.