Condor Options

Options: How to Be Risk-Averse

Seth & Joe,

Thanks. I don't really have any control over this or any idea what might be wrong - this seems like something for the SA staff to sort out.

In any event, I always suggest people use Firefox, Safari, Chrome, or homemade papyrus before resorting to Internet Explorer.

CME Group Making Gold Options More Tradeable

No, this would not make gold options "even more volatile." Historical volatility is a function of changes in the price of an asset. Implied volatility is a function of expectations about future price changes. Neither is a function of the number of strike prices available for trading on an exchange.

You probably suspect banks are "smugly laughing up their sleeves over this change" because you are a conspiracy theorist and/or because you have misunderstood fundamental aspects of the options market.

I fail to see how buying gold would "end" whatever it is that is "terribly wrong in our country."

On Oct 02 12:53 PM The Recusant wrote:

> Would not this make gold options even more volatile? Why do I suspect
> banks are smugly laughing up their sleeves over this change?
>
> There is something terribly wrong in our country. End it...buy gold.

Weekly Volatility Tracker: All That Glitters Is Volatile

Given how new those products are, I think it would be a bit hasty to draw such sweeping conclusions at this point. I don't trade VXX or VXZ since I have access to the CBOE volatility futures. But I disagree with your claim - evidence so far suggests that VXX does track its target range quite well.

Remember that the "real VIX" (if by that you mean the spot VIX) is just a statistic and is not directly tradable.

Weekly Volatility Tracker: Implied Correlation as a Reflation Proxy

For annualized realized volatility: calculate the standard deviation of log returns over the period required, multiplied by the square root of 252. This can be done easily in a spreadsheet.

Monday Equity Volatility Report

The implied volatility indexes covered here already serve precisely the function you describe. They state an annualized 30-day implied volatility (forward-looking) for the asset in question, within one standard deviation.

VXV, one of the components in my VIX Premium Ratio, tracks a similar three month estimate for the S&P 500.

VIX Premium Ratio Finally Perks Up

Alex, yes, today's realized vol corresponds to implied vol one month ago. So given today's realized vol, I want to know what the implied vol was one month ago, and that's what is reflected in the chart.


On Jun 11 03:39 AM Alex F. wrote:

> Either I'm having a brain fart or you are constructing the implied/realized
> volatility ratio incorrectly.
>
> Implied volatility is a measure of expected volatility over the next
> month.
>
> Realized volatility is a measure of realized volatility over the
> previous month.
>
> So today's realized volatility value corresponds to the implied volatility
> one month ago. Therefore, you should lag the realized volatility
> and not implied.