Something wrong with volatility

[traider]

volatility is a scam. Equities should just go straight up in a line and then crash once in a while

 

[Vol-learn-tears]

Something wrong with volatility

Volatility means StdDev expressed in percent by multiplying StdDev by 100.
StdDev is the standard deviation around the mean. It's in the original unit, ie. in our case the price.

BUT since volatility is a percent value, one thinks multiple volatility values can be compared
to each other since they all are percentages, ie. same unit.

But I think this is a wrong thinking as the underlying StdDevs are dependent on their respective mean values, so they (volatility and StdDev) are IMO not comparable to other StdDevs and volatiliites!

Ie. does an IV of 120 mean the same to two different underlyings, one with Spot=100 and the other with Spot=200 ?

I think there ought to be found a new metric that allows such comparisons.

What do the experts think about this?

Any chance StdDev around the mean, IMO, is the return, not the price?

and you will assume short term stock return has a 0 of mean so you can compare across them.

 

[KCalhoun]

Something wonky with VIX last few months, should've been much higher recently

 

[earth_imperator]

Any chance StdDev around the mean, IMO, is the return, not the price?

and you will assume short term stock return has a 0 of mean so you can compare across them.

But then in the Normal Distribution case the formula is:
CV = StdDev / Mean * 100

ie. a Divide-By-Zero error would happen...

 

[newwurldmn]

Neww, how have you not been blocked by the Romanian dirt farmer?

hehe - trade secret.

he’s actually a pro-fascist Turk living in Germany.