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ivolatility.com. I get all I need from my broker's platform though.

Emini is $50 per point and that's why they appear to be halved.

Generally, you would use a year of daily data points to calculate it. And as the other poster noted, for it to be a meaningful measure the returns should be approx. normal. A highly skewed distribution can result in a very high Sharpe ratio, which is misleading.

Several points. 1. You divide by the stdev of the fund not the difference between the stdev of the fund and the benchmark. 2. You take the actual return for the period not the average return, and the same goes for standard deviation. 3. It's the risk free rate not the benchmark index...

I've read it, and yes, that's the concept.

OEX is American. XEO is it's European counterpart.

You're kidding, right!? This thread is getting funnier by the day!:D :D :D

With futures options you do not calculate the forward price cause the futures price is already a forward one.

I see, thanks for the in-depth explanation.

Thx

At the risk of sounding stupid, what does "market color" mean?

Not all of them are traders. There are also analysts, middle office,... Flip thru this gallery and read the comments and you may get an answer to some of your questions.

No, selling a call on an inverse ETF is not equal to buying a put on a "normal" ETF.

In this example, I presume you sell a call on SPY and sell a call on SH. In which case again, you don't need the stock trades in SPY and SH as they cancel each other out. All you do is sell a call on SPY and a call on SH. If the market goes up you lose on SPY call and gain on SH call, but the...

Think of it this way. Forget about long and short ETFs, and lets use just one ETF - SPY, which you can buy or short. First you buy 100 SPY. Then you short 100 SPY. Then you short a call on SPY. What is your position now? You bought and shorted the same ETF so your net position is...

The long and short ETFs offset each other, which means that you end up with a naked short call. How's that risk free?

There's no one best way of estimating volatility. You have to develop one yourself and in order to be able to develop it you need to read up on options (the books cvds16 recommended) to understand what is really going on in the market. For one of my systems I do estimate volatility, but for...

GARCH is just one of the methods that some people use. There's no single method for estimating volatility. I think part of the confusion comes from the fact that you use the term "implied volatility" all the time. Once again, the word "implied" is used only when you use market option prices...

No worries, I know just the thing to use...ignore. :)

WTF are you on about? You need an expected future volatility not historical volatility, and the way to get that expected future volatility doesn't have to be based on historical volatility! You can pick a number out of thing air and if that number happens to be consistently a better estimate...