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2

If you think of New York and London as cutoff, that doesn't exist as a market quote (white instead of amber in OVDV as it is interpolated). BGN and BGNL stands for New York and London daily close according to the times shown on XDF. Never use CMPN, that is composite and just a hard coded list of contributors without any quality check (timeliness, spikes etc)....


0

If I have understood your question correctly then you might be interested in the following paper: Weber, A. E. Annual risk measures and related statistics. Applied paper Ortec Finance Research Center (8 2017). You should be able to download a copy here.


2

Is this what you are looking for? The Dynamics of Leveraged and Inverse Exchange-Traded Funds, Minder Cheng and Ananth Madhavan, Journal Of Investment Management (JOIM), Fourth Quarter 2009 https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.1073.6502&rep=rep1&type=pdf and here p 31 Dynamics of Leveraged and Inverse ETFs, Minder Cheng and ...


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Firstly you need to define what you mean by "expected volatility". Once you formulate formally the expected volatility, then I presume you will get the answer yourself.


7

They are not the same, but they are related. Gamma is sensitivity to realized volatility. Vega is sensitivity to implied volatility. Vanilla options are always long gamma and long vega, so they are "long vol" and saying "I am a buyer of vol/gamma/vega" means that you are taking a position that benefits from a rise in volatility (either ...


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