|
PureBytes Links
Trading Reference Links
|
>I seems to me that Implied Volatility lags Historical
>Volatility in most time frames. I have no proof but it seems that way to
>me.
That is not entirely true. I don't want to get into this "leading/lagging"
thing all over again but historical volatility by definition lags, because
you must use history in order to calculate it. What's more, the time frame
you use to calculate historical volatility makes a big difference in the
results you get. Are you using 10 days, 100 days, 10 years, 100 years?
But implied volatility is a figure that exists in option prices RIGHT NOW.
No historical volatility data is used to calculate it. It is the end result
of solving the theoretical option pricing model for "V" (volatility) rather
than "P" (price).
If you're using the Black Sholes Model, for every given option at any one
given time, there IS ONLY ONE figure for implied volatility. There is no
argument or discussion about it, whereby 100 different traders will have
100 different opinions on historical volatility given the various time
frames they may use.
|