Atticus, I was wondering if you might speak about your approach for forecasting volatility on a single stock? I personally mainly trade instruments that are affected by macro economics and macro events, so those likelihoods are what are in my mind when getting an idea of where volatility should be.
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atticus' "ship it" vol trading journal
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Quote from MentalTunnel:
Atticus, I was wondering if you might speak about your approach for forecasting volatility on a single stock? I personally mainly trade instruments that are affected by macro economics and macro events, so those likelihoods are what are in my mind when getting an idea of where volatility should be.
Sorry, I can't really get into that. Other than to say one account gets long or short vol on macro events (storms included).
Quote from kapw7:
Could you give us an idea how much of these predictions are based on experience/skills and how much (if any) in some kind of model even if it is not strictly quantitative (for example if you use an estimate for how fast the vol mean reverts, how it correlates with price change etc or to be more clear something analogous to your own PF "model").
Excellent thread btw and obv: run goot please!
I am not in the remotest sense a quant. I run one off the shelf macro model that was developed in the late 80s (not by me). in vanilla I run approximations which give me a dollar value to skew in index and component vol. I also have that PF sheet which I watch intraday.
I run var figures on each issue I trade and GARCH as well. I infer a flat skew vol-figure (implied ATM) from var and calc distribution points (INTERNAL touch prob of hitting these 1/2/3 sigma "hedge" levels), or what I feel is the "stickiness" of the underlying, or a forward var figure. If I get a feel that the underlying is sticky I will go heavily into short vol. I use Kelly for bet-sizing but will override that. I wrote something on another thread and I'll try to find it now.
OK, I found a reply to the post I am referring to:
http://www.elitetrader.com/vb/showthread.php?s=&postid=3514858&highlight=atticus#post3514858
This thread is not indicative of my concentration in flies or calendars.
Quote from atticus:
I am not in the remotest sense a quant. I run one off the shelf macro model that was developed in the late 80s (not by me). in vanilla I run approximations which give me a dollar value to skew in index and component vol. I also have that PF sheet which I watch intraday.
I run var figures on each issue I trade and GARCH as well. I infer a flat skew vol-figure (implied ATM) from var and calc distribution points (INTERNAL touch prob of hitting these 1/2/3 sigma "hedge" levels), or what I feel is the "stickiness" of the underlying, or a forward var figure. If I get a feel that the underlying is sticky I will go heavily into short vol. I use Kelly for bet-sizing but will override that. I wrote something on another thread and I'll try to find it now.
OK, I found a reply to the post I am referring to:
http://www.elitetrader.com/vb/showthread.php?s=&postid=3514858&highlight=atticus#post3514858
This thread is not indicative of my concentration in flies or calendars.
Whats a PF sheet.
Quote from cdcaveman:
Whats a PF sheet.
http://www.elitetrader.com/vb/showthread.php?s=&threadid=244704&highlight=pitchfork
Thanks atticus. Really appreciate this. It will take me some time to decode (a small piece of) this info. So you use the flies to estimate skew and kurtosis and calendars for the term structure?
Just fwiw I am experimenting with "model free" IV, skew and kurtosis, I got the Excel functions for those from this book:
Option Pricing Models and Volatility Using Excel-VBA (Wiley)
Just fwiw I am experimenting with "model free" IV, skew and kurtosis, I got the Excel functions for those from this book:
Option Pricing Models and Volatility Using Excel-VBA (Wiley)
Quote from kapw7:
Thanks atticus. Really appreciate this. It will take me some time to decode (a small piece of) this info. So you use the flies to estimate skew and kurtosis and calendars for the term structure?
Just fwiw I am experimenting with "model free" IV, skew and kurtosis, I got the Excel functions for those from this book:
Option Pricing Models and Volatility Using Excel-VBA (Wiley)
Right I run the marked price against a theoretical flat-vol fly of the same strikes. I use the PF to give me a dollar figure on index skew.
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