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For all of you options people.....
the recent "Striking Price" article in Barrons mentioned the concept of
dispersion which is
supposed to be different than volatility.
A guy named Carpenter indicates that dispersion has prediction power....when
used along with VIX.
Has anyone seen this in practice ?
How can dispersion be calculated ? It seems to be a sort of directional
volatility....
if all components are girating in the same direction, then dispersion =
zero, but volatility could still be high.
Dispersion would be greatest when half the components are going up and half
are going down....
interesting.
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