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
0
votes
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 ...
- 2,040
0
votes
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, ...
- 5,133
2
votes
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}
...
- 293
0
votes
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
Top 50 recent answers are included