historic volatility, page-3

re: historic volatility ... andrew Hi Andrew, I have been playing with Volatility for years but my approach is in tandem with my T/A early entry/exit strategy ...

Volatility and my forecast view (to Expiry) of the Underlying help me to plan the appropriate strategy.

My BC allows me to project forward and analyse various profit/loss scenario's. It also records and maintains the daily 'real-time' as look-back data (default template is 20 w/day data) which allows a numerical 'picture' of all vols/prices/greeks.

This allows me to view Volatility as I said elsewhere yesterday with respect to high versus low against the forward view of the Underlying for strategy purposes.

I find I still need the Volatility and a view of the projected Underlying movement ... how else would we know whether a straddle/spread/strangle was the best profit/loss strategy?

I cannot separate the elements out although I am aware that in the US ... there are some serious maths going on in the Volatility area such as your approach and interest.

No doubt also, the big players develop all manner of complicated strategies around Volatility to create arbitrage (and/or risk-less) opportunities.

I do pick up on some Volatility movements but the profit is minimal with the overall strategy being the main play.

Where I hold a Written position with HIGH Vol which subsequently drops ... I regard this as 'risk-free' profit.

Conversely, a Taken position at LOW Vol that rises, thereby increasing the FAIR VALUE (all other factors remaining equal) I also consider as 'risk-free' profit.

It is a nice bonus when it happens.


Cheers ...


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