[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

MKT:Time Algebra



PureBytes Links

Trading Reference Links

Rt Option Masters,

I am trying to get a handle on how to derive "expected" volatility on an
intraday basis.

I know that  VIX/SqRt(312) gives me the expected percent range for the
day.

How would I figure that into on an hourly basis?

would it be the expected daily percent range derived from above 
ie %R as Expected Range of the day.

%R(daily) times  (SquareRoot 1hour/SquareRoot 6.5 hours)

or is it

%R(daily) times  (1 hour/6.5 hours in a trading day)

My basic problem is the algebra of time when using square roots and
shucks just plain ol' ig no rance.

Thanks,

Don