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sorry i dont quite understand this part of the equation - log(83.50/82.92) * 0.5 shouldnt it be just 1.75% / 2? on using longer-dated vol, which would be a better measure 1) using historical vols after removing say 2 std dev be a better measure (con: arbitrary segregation of event against...

sle, what is (c)? oldnemesis, i found that method of his to be very useful in removing noise from a signal and since i learned that method from him, i should quote him. :) Continuing... For example, is vix options vols cheap ahead of fomc? 1) historical/fundamental analysis - tons...

Cross asset classes and countries. I am thinking around implied vs realized, quantumfinancier's percentrank(SMA(percentrank(timeseries))) and known future events within option life span. Any ideas/thoughts/comments/experience welcome. Reference...