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0
votes
2answers
50 views

Estimation of annualized volatility depending on data frequency - exceptions to the general rule?

From my understanding, the annualized standard deviation of daily returns is generally higher than of annualized standard deviation of weekly returns is generally higher than.... ...
4
votes
1answer
292 views

Measuring momentum as AR(1) process

I would like to measure the momentum in the price of a stock from the time the market opens until the time I trade each day. I want to use this momentum number in post-trade analysis (regression of ...
2
votes
0answers
58 views

How can the time value portion of an option be higher than 100%?

Here's a screenshot from InteractiveBrokers TWS for the near-the-money put and call on the ES Dec '15 Future: The absolute value of the time value, 9.50, makes sense. But why is the percentage ...
0
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0answers
83 views

Ideas for speeding up greek calculations

My current calculations using the vollib library averages 0.5 seconds. Is there any way to get it faster? Any tips/best practice notes will be helpful. This is for a scripting language such as ...
0
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0answers
29 views

Poor investment preformance in early years impacting on final fund value

I am currently doing some work on the performance of funds across different models of the economy. I am trying to find some work that looks at the impact of poor/lower returns at the early years of ...
0
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0answers
51 views

Why does the OTM call sometimes have a higher theta than the ATM call?

In this AAPL option chain on Mar20 call options, the OTM calls have a slightly higher theta than the ATM calls. Why is this? Is not time value(and thereby time decay) supposed to be highest for ...