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Dear Preston,
Thank you for making me smile :-)) ... yahduh, yahduh,
...
I am studying for Financial Risk Manager... and I have to
study all this yahduh... it really drives me crazy...
Best regards, and I wish you a nice day
Thorsten
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=no_reply@xxxxxxxxxxxxxxx
href="">pumrysh
To: <A
title=equismetastock@xxxxxxxxxxxxxxx
href="">equismetastock@xxxxxxxxxxxxxxx
Sent: Monday, May 12, 2003 3:33 PM
Subject: [EquisMetaStock Group] Re:
Option Volatility
chellester,Volatility is one of the biggest can of
worms I've ever come across! Is it implied, historical, annualized,
percent, normalized, theoretical, yahduh, yahduh, yahduh? The huge
differences that you are experiencing are no surprise to me. Never assume
anything! Ask and see if you get an answer. If that fails you'll have to
figure the method by comparison. You might even try to write the various
methods in an expert commentary which would make it easier to call up the
whole mess at once. In the end, don't give up on volatility. It is far
too important! Just takes a bit to wade through the method to the madness.
Preston --- In
equismetastock@xxxxxxxxxxxxxxx, "chellester2002" <chelle@xxxx>
wrote:> Hi, I'm currently reading "Option Volatility and Pricing",
by Sheldon > Natenberg, and learning about - surprise surprise,
option volatility.> One of the tactics it's currently talking about
is finding > overprice/underpriced options based on the
volatility.> Using OptionScope, if I input the volatility figure given
using the > option volatility indicator on a given share, and then
input the data > from actual prices, I'm getting huge differences
in volatility, such > as a difference of 15, or 20 etc. Now
supposedly thats what I'm > meant to be looking for, but every
share/option I've tested this on > is giving substantial differences. -
So - checking the metastock help > files for calculating the
volatility, it doesn't give information on > the formula it
uses. I'm assuming that it's using a lognormal > distribution as
described in the book, but it really doesn't say. Is > that
where my difference might be? I've gone over and over all the >
other figures to input in the OptionScope, and they all seem
correct.> Either I'm making errors somewhere, the whole market is
mispriced > (according to the theoretic price), or figures I'm using
for > volatility must be wrong.> Has anyone come across
this? Anyone have ideas?> ThanksTo
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