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Perhaps I got lost along the way with various Q's, but yes - you take the StDev calculated from daily data and multiply by sqrt(256) to give you the annualised volatility %.

Arnie Why don't you look at your delta as an exposure ? If you want to increase your (bullish) exposure you'd leg up a Put strike. If you wanted to reduce exposure.... you'd leg down.

yip You take the sandard deviation of your daily returns. Then, since these are daily returns, you multiply it by the square root of 252 (maybe 256 for the yanks). This will then give you the "annualised" volatility.

"Does this have a name? " Yes, it's called a brokers dream :)

That shouldn’t make any difference to “accuracy” because the spread after all, is part of trading life. [/b]It depends. If it’s a liquid option I’ll take the worst case, if it’s illiquid with wide spreads I’ll take the mid (knowing I can improve on the worst case). [/b]Yes you will...

Don't follow that, please explain.

Doesn't he run a fund ? If so wouldn't that info be publicised ? What happened in '97 ? Or do you mean '87 ?

No reason why you couldn't look at the Sharpe ratio for each and every one of your strategies, as well as your overall performace.

The sharpe ratio measures your risk adjusted return. Sharpe ratio = (Return – risk free return) / Portfolio Standard Deviation You would need your daily portfolio P&L data for (I would suggest) 3 months or more so that the data would be meaningful. You should strive for a Sharpe ratio...

I agree with Jeffm in that profit per contract is a meaningless measure of performance. Profit as a function of capital employed would be more useful, and better still profit as a function of risk taken even better. The Sharpe ratio is probably one of the best measures of trading...

Grant That's probably a bit too "quanty" for ET. You'd probably get more respone on the Willmott Forums.

By comparing the implied vols of the index options with the implied vols of the component options, then calculating an implied index correlation (IIC) between the components stocks. It’s complicated, but as a very simple example, if you have a 2 x stock index with both stock vols at 20% and...

[/b]Because daily EOD data is readily available. I would always try to include as much data as I could, not exclude it. If “hourly or minute by minute or tick” data was readily available I’d use that as a preference. The more data you include the more accurate the picture, no ? After all...

That's actually a reverse dispersion / long correlation trade. You'd have to look at implied index correlation to see whether the conditions are right for that to be profitable now. When I last looked, it wasn't.

Why do you want to exclude 80% of the data ?

There ya go newbunch, curtesy of GBOS. Looks like a very similar distribution to the DOW. GBOS, what's that software you're using please ?

newbunch Neither do I. But if you post up some data I have a gander.

[/b]Yes. [/b]I don’t have any S&P data, so can’t verify. Why do you doubt the Kurtosis of the S&P ?

[/b]Well I got the same value of 39.3 (Pearson) and 36.3 (Fischer) as did GBOS. Don’t know how you arrive at 27.7. Don’t take this as an insult, but are you measuring the kurtosis of the daily logarithmic prices changes ? Just thought I’d ask. [/b] It shouldn’t be. If you took the DOW...

Pearson kurtosis = 3 Fischer kurtosis = 0 Excel uses the Fischer calc. Easily done.