# Tag Info

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Echoing @noob2 's comments. Additionally, one of the things you might want to be aware of is there is a time to maturity difference between VIX and your calculation of historical volatility. While you are using a constant time frame (30 day) for your volatility calculation, VIX utilizes the near term options contracts for its calculation. As options have ...

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Scaling the length of the discrete time step in GARCH models is, from memory, not at all straightforward. For example, you can't just multiply things by the square root of time, like we do for some other, simpler, processes. For the case where $\delta \rightarrow 0$, the convergence is derived in Nelson (1990) "ARCH Models as Diffusion Approximations&...

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As a general rule of thumb, the price of a thing should not depend intrinsically in the units of value in question. Since quoting something in X per 1 unit of a base currency or 1/X per 1 unit of counter currency happen to be questions revolving around units, the price of an option should not depend on that choice. The entire area of measure change and ...

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You will want to buy the 10 delta calls and puts vs selling the at-the-money calls and puts when implied volatility is high vs your view on realized. You are selling vol which means that your view is that volatility will be lower than that implied by the markets (your maximum profit will be if the underlying doesn't move (no volatility) and you end up ...

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If you are predicting lower one year volatility than the options are pricing in, sell one year options on the underlying that you think will be lower and hedge the delta. If you are predicting higher one year volatility than the options are pricing in, buy one year options on the underlying that you think will be higher and hedge the delta. Your hedging ...

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I don't know, because your chart shows no time stamps, but I'd hazard a guess that the first third is the "overnight" session after the New York close until the London open, the second third is the London open until the London close, and the last third is the remaining part of the trading day until the New York close. If this is so, you don't ...

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You could look into the trend-scanning method which is described in a new book by Marcos Lopez de Prado, "Machine Learning for Asset Managers". Essentially you fit a linear regression to multiple forward looking periods of increasing length (say you scan from 5 periods ahead, to 50 periods ahead) and choose the regression fit with the highest slope ...

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This resource surveys the main available replication-based approximations of discrete variance swap pricing: continuous method Derman's method Trapezoidal/Simpson methods Optimal Quadratic Hedge (Leung and Lorig) Edit: We have: $$A_{m,n}:=(t_n-t_m)^{-1}\sum_{i=m+1}^n R^2_i = (t_n-t_m)^{-1}\left(\sum_{i=1}^n R^2_i -\sum_{i=1}^m R^2_i\right)$$  = w_1 (...

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What are common methods to compute implied volatility index? One could use VIX method on other underlying. Yes, the CBOE offers this for Apple, Google, Amazon, Goldman Sachs and IBM (see here). In my working paper here I use the CBOE VIX methodology on a sample of 268 individual equities in the same way. It also includes a comprehensive derivation of the ...

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Althoug I can only provide recommendation as to the forecasting task (see below), I want to point out one big caveat one has to account for: Intraday price volatility- or to be exact, the absolute returns, exhibit an intraday pattern which looks like a wave. This implies that the data is autocorrelated, which violates the assumptions of ARCH/GARCH models (...

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I was thinking of simply limiting set of options that go into computation to K0 strike+ 1 option on each side (cboe.com/micro/vix/vixwhite.pdf). Not sure if this is a good idea though. Hence the question If you have a full/complete options chain then naturally to calculate the VIX you should use the VIX formula, which should be interpreted as a definition. ...

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