historical volatility ..., page-16

  1. 5,822 Posts.
    re: historical volatility ... duck Hi Duck, I think we are getting it ... pardon if we don't understand your vernacular ...

    You're not going insane ... your approach is just a little unconventional and that is okay.

    I think you are a little sensitive to what you think are 'the big guys who run everything' etc and I get the impression you believe you need to be in 'their groove' or else you will fail.

    As in any Market, there are different groups each with their separate goals operating in their own ways to achieve them.

    Everyone is operating with similiar Derivative Pricing Models with the same Inputs and sensitivities (greeks) which are just numbers ...

    Given the spreads that have become a concerning feature of ETO's of late, one could have separate I/Vols for Bids/Asks ... the Margin Price you mention is really a composite of these and other factors as Gypsy correctly points out.

    I input real-time pricing of the underlying into my BC which then auto-solves for greeks as intra-day sensitivities and accordingly am able monitor changes to these ... obviously I/Vol is the one most watched and intra-day changes are commonplace.

    It is worth noting that Volatilities act as a continuum in time not in isolation ... duly observed they create a picture for the trader ... deviations from the trend are the signals we use as part of our trading strategy.

    I commend the spreadsheet in my LINK above as a good place to start and with a little effort a spreadsheet can be created that would enable a daily continuum of Volatilities for those underlying stocks you are following.

    Cheers ...


    This is only my view ... read the red stuff.






 
arrow-down-2 Created with Sketch. arrow-down-2 Created with Sketch.