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Alex F. » Comments » SPY

  • Adapting Annualized Volatility [View article]
    I think you mean that the returns/prices that are used in the calculation are not normally distributed and not volatility. However, this assumption doesn't yield the standard deviation incorrect. It may not be a perfect measure, but it's still valid and useful.


    On Dec 17 06:40 AM American in Paris wrote:

    > Since volatility is not normally distributed, it is a mistake to
    > use standard deviation as the measure.
    Dec 17 07:37 am |Rating: 0 0 |Link to Comment
  • Adapting Annualized Volatility [View article]
    Your calculation of the weekly volatility is wrong. Initially when you calculate the standard deviation you get a daily number so to get to the annual number you multiply by the square root of 252. To get a weekly number you need to multiply by the square root of 5 and NOT 52, as there are 5 trading days in a week. So the weekly volatility is 2.2%.

    Looking at it another way, your 7.11% weekly volatility number doesn't make sense when you consider that the annual is 15.63%. So the underlying moves 7.11% in a week, but only 15.63% in a year!?
    Dec 17 03:27 am |Rating: 0 0 |Link to Comment
  • Selling Theta: Five Option Write Ideas for a Closed Market [View article]
    You are forgetting one important issue. Everybody knows that we have or rather had a long weekend coming (actually the same applies to a regular weekend or any holiday), including market makers. Therefore, the weekend decay is priced in prior to the actual weekend. And if you followed the option premiums from Monday to Wednesday you would've noticed that they were decaying at an accelerated pace. In other words, the market makers had been slowly taking out the long weekend decay over the first 3 days of the week.
    Nov 30 03:49 am |Rating: 0 -1 |Link to Comment
  • VIX Premium Ratio Finally Perks Up [View article]
    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.
    Jun 11 03:39 am |Rating: 0 0 |Link to Comment
  • Get on Base with SPY Covered Calls [View article]
    Why would you make two trades and pay double the commissions and splippage when you can achieve exactly the same thing with a simple short 84 put!?
    Dec 23 04:46 am |Rating: 0 -1 |Link to Comment
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