thanks destriero

Wow, I missed the reference entirely. RM was referring to my comments about delta1. Extrapolating VIX targets isn't going to work due to how it's weighted, so you could apply an ATM implied vol in lieu of using stat-vol. And yeah, you should have a stat-vol target on spot.
Thanks again. Figured this out after I started digging into the implied vol data.

Made an index using aggregated normalized implied vols. It can be compared to the individual names using a simple thinkScript study.

(not sure if these are ATM implied vols or what, but it's working)

Looks like this. (the iv's are all inverse -- the data is a little sketchy sometimes)
vols.png


destriero's the real deal. It took me a long time to figure out what he's talking about, but it was worth it.
 
Thanks again. Figured this out after I started digging into the implied vol data.

Made an index using aggregated normalized implied vols. It can be compared to the individual names using a simple thinkScript study.

(not sure if these are ATM implied vols or what, but it's working)

Looks like this. (the iv's are all inverse -- the data is a little sketchy sometimes)View attachment 244482

destriero's the real deal. It took me a long time to figure out what he's talking about, but it was worth it.


Glad that I could help.
 
I have no clue who volente is. For all I know his name is John Doe. I don't think I've even exchanged a PM with the guy; here or elsewhere. I don't know what the fantasy is about.

I was referring to this dude, and being sarcastic about his previous comments.

upload_2020-11-22_8-45-1.jpeg
 
Thanks again. Figured this out after I started digging into the implied vol data.

Made an index using aggregated normalized implied vols. It can be compared to the individual names using a simple thinkScript study.

(not sure if these are ATM implied vols or what, but it's working)

destriero's the real deal. It took me a long time to figure out what he's talking about, but it was worth it.

Put bluntly, and kindly do not take this the wrong way: Are you making $$$ on this information?
 
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