Hey vi, thanks for putting up you analysis
For equities, try comparing hi-lo to open-close...
Agreed, cool chart, can we see the Open-Close one as a column?
Another Options Thread
- Thread starter wayneL
- Start date
Agreed, cool chart, can we see the Open-Close one as a column?
- Joined
- 22 July 2009
- Posts
- 602
- Reactions
- 0
You should probably run a regression, rather than a correlation figure...
- Joined
- 22 July 2009
- Posts
- 602
- Reactions
- 0
So far we have addressed measurement errors in realized vol, in which we are trying to forecast.
As seen by vi's alternate measure, different measurements could yield relationships that do/don't exist [data and statistical errors aside].
It has been widely documented that iv compared to hv, is the better predictor of rv [exogenous regressors not included].
I understand that the following material will not be in some people's scope, but it is something to think about.
Firstly, it is taken for granted that iv is backed out of the Black Scholes model. But what about iv being backed out of more "accurate" pricing models e.g Heston? Does this iv have > information than the one coming from BSM?
Finally, once it is decided which iv measurement to take, is it simply taking the atm implied vol as the implied figure? What about factoring in skew [tenor and horizontal]?
As seen by vi's alternate measure, different measurements could yield relationships that do/don't exist [data and statistical errors aside].
It has been widely documented that iv compared to hv, is the better predictor of rv [exogenous regressors not included].
I understand that the following material will not be in some people's scope, but it is something to think about.
Firstly, it is taken for granted that iv is backed out of the Black Scholes model. But what about iv being backed out of more "accurate" pricing models e.g Heston? Does this iv have > information than the one coming from BSM?
Finally, once it is decided which iv measurement to take, is it simply taking the atm implied vol as the implied figure? What about factoring in skew [tenor and horizontal]?
