# Tag Info

## New answers tagged volatility

1 vote

### How to calculate daily returns and volatility from intraday price?

If zou use the standard close-to-close HV calculation you use daily data. That's why you multiply by sqrt(260) to annualize (or something close to 260, depending on trading days and your preference). ...
• 9,394
1 vote
Accepted

### Definition of instantaneous volatility of simply-compounded forward rate

Log Normality of Rates: In many interest rate models, the forward rates are modeled in such a way that the log of the forward rate follows a process with constant or deterministic volatility. This is ...
• 575

### Realized vol, implied vol, and gamma scalping

In the end I decided to write a brief answer: Let's accept that typically implied vol (IV) is larger then realized vol (RV). This is another good answer making this plausible. Your PnL formula is ...
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### Pricing an option on the spread of two contracts, what correlation parameter?

The third way (continuing the previous answer) is to get some market or consensus prices of the option on the futures price spread (or prices of basket options, if available) and, given implied vols, ...
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### How do you avoid noise in daily averages?

You need to define a weighting scheme that you can use for each period. Weighted statistics are straight forward to compute. Your weights can change for each time $t$. For example,  \begin{aligned} ...
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### Delta volatility curve construction in practice

Yes it is. However, you should normally do this (average of the call and put IVs) only for ATM options (I myself bound them using moneyness 0.95 < K/S < 1.05). For options outside these bounds, ...
• 1,670

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