# Questions tagged [volatility]

A measure of the variation in price over time. Also a measure of the risk of a financial instrument.

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### How to properly calcualte Realized Variance for WTI?

I have several realized variances for WTI, RV, scaledRV, RSVN(negative) and RSVP(positive), which were given to me by a professor whom I cant contact anymore. When I try to calculate my own RV (in ...
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### Incremental Variance Estimations on SPX

I am developing a program aimed at estimating the daily implied volatility of SPX using an incremental variance approach. My current methodology involves employing a root-finding algorithm coupled ...
33 views

### Pricing an option on the spread of two contracts, what correlation parameter?

I must price an option on the spread of two futures (A-B) the model I must use uses the IV on the options of each futures. Another parameter I need is the correlation of these, what would be a ...
127 views

### Target Realized Volatility or Realized Variance in Forecasting

There are many academic paper doing volatility forecasts using realised variance and realised volatility interchangeably -- both targeting the proxy estimation of sum of squared returns (realized ...
31 views

### Canonical choice of inputs for Black76 model?

What is the canonical choice of inputs (e.g. interest rate, forward price, option price, time to expiration, etc) for the Black76 model? For concreteness let's say on the SPX index. I am using the ...
343 views

### Ratio of real world to risk-neutral density

Suppose I have a risk-neutral pdf and a real-world pdf of an asset. Both functions are related by a scaling factor or the sdf which would transform the risk-neutral into the real-world density, is ...
1 vote
638 views

### Extrapolate Implied Volatility Surface

I have a moneynessratio-tenor volatility surface and want to extrapolate the implied volatility for moneynessratios > 150%. The volatility surface was downloaded for different points in time, so I ...
49 views

### Portfolio volatility, for long short portfolio [closed]

Can anyone help me out regarding portfolio volatility? I tried asking chatGPT this prompt 4 times and all times it gave different answers lol. My calculations come out to be around 31%, but i think i ...
55 views

### Calculating greeks for a combination of SPX and VIX options

I am trying to properly calculate the delta, vega and theta for an options strategy that involves buying a 90 day ATM SPX put and selling a 90 day ATM VIX call. Here is what I have done so far: SPX = ...
40 views

I am trying to understand the effect of correlation between bid price and ask size with realized volatility (called targe_vol). Similarly, correlation between ask price and bid size with realized ...
1 vote
49 views

### Change in Option Price given Change in Implied Volatliity, Moneyness, and Maturity

I have an implied volatility surface parametrized into moneyless-maturity coordinates. At each period of time, I only have access to an option's moneyness (K/S), maturity, and change in implied ...
39 views

### Question about Example in Dynamic Hedging (Strong smile causing Put-Call Parity to not hold for American options)

On page 28 of "Dynamic Hedging" by Nassim Taleb, he uses the following example to demonstrate the fact that a rising volatility curve could separate puts/calls for American options because ...
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### GARCH-MIDAS model for forecasting volatility?

I had a problem when I just estimated the GARCH-MIDAS model on Eviews: I found only the MIDAS model. Can I estimate the GARCH(1,1) model and MIDAS separately, and then multiply them to have GARCH-...
1 vote