has anyone done a study to find which stocks/etfs/futures usually have realized - implied greater than 0? For example, low beta stocks usually have much higher IV than what is realized.
correlation between implied vs realized
- Thread starter TheBigShort
- Start date
Here is a simple TOS study that compares the 30-day. "http://tos.mx/bSxZQr"
A slow moving average of the difference is provided with the actual data.
A slow moving average of the difference is provided with the actual data.
Robert Morse
Sponsor
Not a hard study to do, but for equites, you have to decide what data to use. Do you include just before and after events like earning and other binary events?
What variables should I include in my study? Market Cap, Price to Cashflow, Div Yield? Anything you can recommend?
Also it seems very rare that Implied is below realized, even for the smaller cap stocks. This should be the case because of the concavity of selling options. But I would love to get long vol and am not to sure how to go about doing it. Any recommendation would be grateful, Thanks Rob
Once again, my hero! Do you code in any other languages? I assume with your Think script skills (very basic language) you would also be good with another language.
I primarily code in Perl. (the Phython of yesteryear )
Thinkscript is sometimes handy since they have a nice GUI interface for quick feedback for simple tasks.
Thinkscript is sometimes handy since they have a nice GUI interface for quick feedback for simple tasks.