historic volatility, page-4

  1. 1,368 Posts.
    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.
 
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