re: historic volatility ... rem Hi rem,
at least someone is interested in my work.
thanx for the comments.
I agree entirely that a forward projection off payoff, risk/rewards and smile curves in order. Im only testing this as an entry system. Standard exits for derivatives will apply, ie -forward projections.
Your idea of asking which strategy suits best is also well taken. I was trying to fit a system to straddles alone, and hadnt looked into other spreads.
Once again, I disagree with your 'risk free' comments, but heck, were all mates, so who cares.
If you sell a hedged position when vola is hi, expecting a fall in vola,- then you are taking a risk that vola might rise. You are trading vola instead of price and still taking a calculated risk.
Did you end up recreating GKs work in MS, as you mentioned you might? I think I found errors, I'll post it to him under option forum.
- Forums
- ASX - General
- historic volatility
historic volatility, page-4
-
- There are more pages in this discussion • 1 more message in this thread...
You’re viewing a single post only. To view the entire thread just sign in or Join Now (FREE)