historical volatility

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Overcoming the Gap Factor

In Historical Volatility: The Gap Factor, I explored the affect that large gaps in the underlying price can have on historical volatility. Basically, these gaps artificially skew historical volatility too high such that it overstates true realized volatility for as long as the gap remains in the calculation.

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Historical Volatility: The Gap Factor

If you missed last weeks Volatility Quiz, you can check it out here.

Similar to question number two, quiz question three also tested your ability to read a volatility chart to ascertain the relative value of option prices. Roughly 90% of you answered correctly stating that options seemed under priced. Take another gander at the question and corresponding volatility chart:

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The Tempest and Volatility Analysis

The second quiz question tested your ability to perform IV-HV analysis to ascertain whether options seemed cheap or expensive.

83% of you nailed it by answering that options seem overpriced.

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Volatility Quiz

Though I’ve yet to utilize polling in my blog, I’ve decided its high time we do a few volatility quiz questions. I'll post the answers and explanations next week. Remember, you can click on any of the charts to enlarge. Good luck!

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An AAPL a Day: An In Depth Look at AAPL Earnings

In preparation for Apple Inc. earnings set to be released tonight, let's take an in depth look at its volatility characteristics.

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