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O.K. Kinda. Vix does in fact treat Friday's close to Monday's opening
as I observation..therefore the 312 day basis.
BUT BUT continuing to extrapolate vol down to hours and minutes starts
to approach the absurd. You begin taking a genuine pricing
concept(GENUINE>>>>IT FINALLY WON THE NOBEL PRIZE>>>>>>Only took 24
years). Your actual minute to minute vol will always (almost)be
different from the implied.
There are trading firms that calculate an hourly vol, but for what
practical purpose. Say you go thru an hour of an actual vol of
80%....what would the number tell you to do? Conversely what if you
went thru a period of 0% vol(which you will frequently find)what then.
Be very careful about getting lost in a mass of data. I can model
anything...having said that I still CANNOT model liquidity...and
that..on a minute to minute basis...is much more powerful than an
implid vol measure.
Let us not get lost by confusing the math with the intuitive. You could
spend so much time calculating that you would develop what we term in
the industry as "QUOTRON HYPNOSIS" and while your refining your
calculations you miss some very ripe trades.
You notice all the discussion today about INTEL trades and support and
resistence. I'm not trying to be a jerk, but did it's vol pop. I
didn't watch it, but I expect it might have. If it did there had to be
a hell of a lot of layup trades in the options today. I expect that if
vol poped there HAD to be some very very cheap bull/bear spreads today.
I spent the whole day in meetings on a new product(OPTIONS ON MUTUAL
FUND BENCHMARKS COMING 12/03)and didn't see the tape till after the
close.
Don't lose the forrest for the trees...Very fee people other than guys
who get a $1,000,000 for the Nobel prize make a lot of money calculating
and NOT trading. Even Merton and Schoales got really rich from applying
their theory. Really rich.
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