Quote from cdcaveman:
historical IV can very easily be calculated... thats just the realized vol of the underlying.. if you can get histrical data on the underlying its very simple to come up with a HV number.. theres much more to getting a good representation of what the underlying is experiencing... Garch is one of them... another thread we were talking about scaling HV numbers by the square root of time.. and how information is lost when volatility is aggregated.. meaning larger moves get smoothed out.. and when you take those aggregated numbers and scale by the square root of time your getting an actual larger number representing the daily or weekly vol then it should be.. hope i explained that right...
Quote from cdcaveman:
in this thread.. .. Kevin Schmit brought it up .. which books are you reading.. a staple is Hull's books.. i've read most of all of the more popular ones.. i don't necessarily get every detail of the subjects talked about it.. but none the less i read it... .
Quote from cdcaveman:
in this thread.. .. Kevin Schmit brought it up .. which books are you reading.. a staple is Hull's books.. i've read most of all of the more popular ones.. i don't necessarily get every detail of the subjects talked about it.. but none the less i read it... .
http://www.elitetrader.com/vb/showthread.php?s=&postid=3722324#post3722324
Quote from comintel:
"The Volatility Surface: A Practitioner's Guide " by Jim Gatheral is all about implied volatility, skew, etc. but may be a tough read.
http://www.elitetrader.com/vb/showthread.php?s=&postid=3722324#post3722324
"Understanding the volatility surface is a key objective for both practitioners and academics in the field of finance. Implied volatilities evolve randomly and so models of the volatility surfaceâwhich is formed from implied volatilities of all strikes and expirationsâneed to explicitly reflect this randomness in order to accurately price, trade, and manage the risk of derivative products."
Quote from justrading:
Option Volatility & Pricing by Natenberg (first book I read)
.......
But to know what IV was a month ago say, and what is the IV trend and compare that to Historical Volatility trend will require a data service for sure. There would just be too much data to store in Excel. Hence my question.......
Quote from justrading:
Yes, and with Hoadley once the chains are imported we can see the surface.
Until I started on the two books, I took it that looking at the Historical Volatility trend of the underlying would suffice, coupled with looking at the current volatility surface. Apparently not according to the authors, historical IV is a different kettle of fish.
I will look at Gatheral's book. As long as it is not full of calculus I can persevere. I managed to finish Al Brook's first book, which must be the worst book on trading ever written.
Quote from comintel:
OptionVue includes free histories of implied volatility for stocks and futures on a daily basis for many years.
It can be accessed from their flat files.
But it is only one (averaged) number per underlying per day. That is, no skews on strike or on time to expiration.
Quote from justrading:
At 50 days to expiration, Natenberg compares 50 day historical volatility to the IV. With the data limitations you mention, doing this would be tough. Hedge funds with large wallets can afford the exotic data and analytical services, out of reach for retail.
Which leads to my question, does anybody even bother?
Quote from comintel:
OptionVue includes free histories of implied volatility for stocks and futures on a daily basis for many years.
It can be accessed from their flat files.
But it is only one (averaged) number per underlying per day. That is, no skews on strike or on time to expiration.