2% is a long term average. IV above is calculated for the next 7 days (You can double check calculations with prices I posted. Starting price was 100).
Quote from luckyputanski: 2% is a long term average. IV above is calculated for the next 7 days (You can double check calculations with prices I posted. Starting price was 100).
For every iteration of your straddle selling exercise, the cost of the straddle is assumed to be based on the "IV" which is calculated based on the known path of the underlying over the next 7 days?
For every iteration of your straddle selling exercise, the cost of the straddle is assumed to be based on the "IV" which is calculated based on the known path of the underlying over the next 7 days?
