Why does dividing daily returns by daily range eliminates fat tails and results in an (almost) gaussian distribution? And how could that distribution be exploited to enter trades?
Can anyone show me how to answer this please? A stock has beta of 2.0 and stock specific daily volatility of 0.04. Suppose that yesterday’s closing price was 95 and today the market goes up by 3%. ...
If I use theoretical prices under a normal valuation model, and I estimate their implied volatility using BLACK SCHOLES implied volatility, do I'll get corresponding log normal volatility?