In his book 'Dynamic Hedging', Nassim Taleb gives the relation:
P = 1.67*historical volatility, where P is the Parkinson number.
What is the basis of this relationship. Does this hold under special situations, or always?
He goes on to say that if P is higher than 1.67*HV, then the trader needs to hedge a long gamma position more frequently.
Otherwise,he can lag the adjustment, letting the gammas run.
Why is this?