Implied Volatility vs Pin Risk

The annualized standard deviation of price returns implied by the current market price of an option, derived by solving the Black-Scholes model backwards from observed market price; forward-looking measure of expected future volatility; distinct from historical volatility which measures past realized movement.

The risk that an underlying asset's price becomes pinned near a large options strike at expiration due to dealer delta hedging flows, creating price stagnation followed by rapid directional movement after expiry.