Yes, that is what I meant.
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It's All GREEK To Me....
- Thread starter cactiman
- Start date
Yes, that is what I meant.
Best way to select a benchmark asset (e.g. SPX) and measure beta-adjusted risk premium. Works for me.Quote from donnap:
Not necessarily. HV and IV are different animals. Measured differently. Some traders might have ways of comparison, but I doubt that they use the values that simplistically.
Quote from sle:
Best way to select a benchmark asset (e.g. SPX) and measure beta-adjusted risk premium. Works for me.
I'm interested in this idea.
As long as you look at IV compared to HV on a % basis instead of an absolute basis, how is comparing beta to IV (or beta to premium as a % of underlying) in one stock vs another any different?
Are you doing this because you can find betas, premiums, and stock prices whereas you can't find HV and IV's?
Or is there an actual difference I am missing?
ComparingQuote from Jerkstore:
As long as you look at IV compared to HV on a % basis instead of an absolute basis, how is comparing beta to IV (or beta to premium as a % of underlying) in one stock vs another any different?
IV(a) - RV(a) <> Beta(a, b) * (IV(b) - RV(b))
is not the same thing as comparing
IV(a)/RV(a) <> IV(b)/RV(b)