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1. Aye to that.

2. Wasn't interested enough to check your post history at the time. WayneL clearly had the benefit of experience from your prior posts. Nice of you to come back with some humour to inject.

3. I've never seen Bolli used to price options vol either. However, the thread you created for fun made mention of the use of Bolli to set strikes, without caring about option vol. Bolli can clearly be used for short term price forecasting of underlying. If you had the perfect system, you'd know the exact path of security prices through to the expiration of the option. Hence, with that piece of voodoo, you can set strikes without knowledge of option implied vol (for the most part). Hence my interest in the voodoo. In dream land, all this is actually within the laws of physics, and is particularly interesting if your prediction ability is truly stunning. I was curious for the way in which the voodoo and 30 mins of trading intersected to produce a strike selection (and wondering why this question was avoided twice...because that's the truly fun bit I was waiting to open up and view...for my entertainment) and also wondering what you actually were going to claim for the other 29.9 minutes between point and click. Oh the potential!!

Bolli is essentially a range informed by vol around some notion of a kernel. The kernel is usually taken as being some sort of MA for the classic case. The vol is usually estimated straight up over a specified time period (usually short term). Nothing prevents SOTA Bolli from determining a different kernel to some MA. All sorts of filters are possible. Similarly, volatility 101 is straight up sample std devn over a fixed window. Who says that can't be filtered, weighted, ... as is done all the time in risk management estimation. Nothing says that these kernels of level or vol need to incorporate only the time series under investigation either. Any form of central tendency estimation and error band is essentially a sub-class of Bolli. Some of them are truly state of the art, relaxing the fixed drift and independent, yet constant, idiosyncratic innovation assumptions embedded in GBM. The chances of this emerging were basically zero from thread content revealed...so my interest in pursuing the line of questioning was partly to see how ridiculous the line of reasoning became. Sadly, my questions in mirth were wasted on a gambit which was also concocted in mirth. I was hoping you were a believer...and willing to suspend my disbelief in that hope.

However, on the upside and hoping against experience, there was a non-zero chance that your 'mentor' actually might have known his stuff and that I could learn something after all.

Ah well, this has been fun anyway. What are you actually up to nowadays?

<blockquote data-quote="DeepState" data-source="post: 868223" data-attributes="member: 58698">1. Aye to that.2. Wasn&#039;t interested enough to check your post history at the time.&nbsp; WayneL clearly had the benefit of experience from your prior posts.&nbsp; Nice of you to come back with some humour to inject.3. I&#039;ve never seen Bolli used to price options vol either.&nbsp; However, the thread you created for fun made mention of the use of Bolli to set strikes, without caring about option vol.&nbsp; Bolli can clearly be used for short term price forecasting of underlying.&nbsp; If you had the perfect system, you&#039;d know the exact path of security prices through to the expiration of the option.&nbsp; Hence, with that piece of voodoo, you can set strikes without knowledge of option implied vol (for the most part).&nbsp; Hence my interest in the voodoo.&nbsp; In dream land, all this is actually within the laws of physics, and is particularly interesting if your prediction ability is truly stunning.&nbsp; I was curious for the way in which the voodoo and 30 mins of trading intersected to produce a strike selection (and wondering why this question was avoided twice...because that&#039;s the truly fun bit I was waiting to open up and view...for my entertainment) and also wondering what you actually were going to claim for the other 29.9 minutes between point and click. Oh the potential!!Bolli is essentially a range informed by vol around some notion of a kernel.&nbsp; The kernel is usually taken as being some sort of MA for the classic case.&nbsp; The vol is usually estimated straight up over a specified time period (usually short term).&nbsp; Nothing prevents SOTA Bolli from determining a different kernel to some MA.&nbsp; All sorts of filters are possible.&nbsp; Similarly, volatility 101 is straight up sample std devn over a fixed window.&nbsp; Who says that can&#039;t be filtered, weighted, ... as is done all the time in risk management estimation.&nbsp; Nothing says that these kernels of level or vol need to incorporate only the time series under investigation either.&nbsp; Any form of central tendency estimation and error band is essentially a sub-class of Bolli.&nbsp; Some of them are truly state of the art, relaxing the fixed drift and independent, yet constant, idiosyncratic innovation assumptions embedded in GBM.&nbsp; The chances of this emerging were basically zero from thread content revealed...so my interest in pursuing the line of questioning was partly to see how ridiculous the line of reasoning became.&nbsp; Sadly, my questions in mirth were wasted on a gambit which was also concocted in mirth.&nbsp; I was hoping you were a believer...and willing to suspend my disbelief in that hope.&nbsp; However, on the upside and hoping against experience, there was a non-zero chance that your &#039;mentor&#039; actually might have known his stuff and that I could learn something after all. Ah well, this has been fun anyway.&nbsp; What are you actually up to nowadays?</blockquote>

[QUOTE="DeepState, post: 868223, member: 58698"] 1. Aye to that. 2. Wasn't interested enough to check your post history at the time. WayneL clearly had the benefit of experience from your prior posts. Nice of you to come back with some humour to inject. 3. I've never seen Bolli used to price options vol either. However, the thread you created for fun made mention of the use of Bolli to set strikes, without caring about option vol. Bolli can clearly be used for short term price forecasting of underlying. If you had the perfect system, you'd know the exact path of security prices through to the expiration of the option. Hence, with that piece of voodoo, you can set strikes without knowledge of option implied vol (for the most part). Hence my interest in the voodoo. In dream land, all this is actually within the laws of physics, and is particularly interesting if your prediction ability is truly stunning. I was curious for the way in which the voodoo and 30 mins of trading intersected to produce a strike selection (and wondering why this question was avoided twice...because that's the truly fun bit I was waiting to open up and view...for my entertainment) and also wondering what you actually were going to claim for the other 29.9 minutes between point and click. Oh the potential!! Bolli is essentially a range informed by vol around some notion of a kernel. The kernel is usually taken as being some sort of MA for the classic case. The vol is usually estimated straight up over a specified time period (usually short term). Nothing prevents SOTA Bolli from determining a different kernel to some MA. All sorts of filters are possible. Similarly, volatility 101 is straight up sample std devn over a fixed window. Who says that can't be filtered, weighted, ... as is done all the time in risk management estimation. Nothing says that these kernels of level or vol need to incorporate only the time series under investigation either. Any form of central tendency estimation and error band is essentially a sub-class of Bolli. Some of them are truly state of the art, relaxing the fixed drift and independent, yet constant, idiosyncratic innovation assumptions embedded in GBM. The chances of this emerging were basically zero from thread content revealed...so my interest in pursuing the line of questioning was partly to see how ridiculous the line of reasoning became. Sadly, my questions in mirth were wasted on a gambit which was also concocted in mirth. I was hoping you were a believer...and willing to suspend my disbelief in that hope. However, on the upside and hoping against experience, there was a non-zero chance that your 'mentor' actually might have known his stuff and that I could learn something after all. Ah well, this has been fun anyway. What are you actually up to nowadays? [/QUOTE]

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