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Actual vol. has nothing to do with an options calculation. Actual vol.
comes from the movement of the stock. The translation is a daily move is
1/16 of the annualized vol. number.
So if a 100 stock moved 2% a day .. that would be a 32% actual vol. Implied
vol. comes from the option price.
-----Original Message-----
From: DonThompson [mailto:detomps@xxxxxxxxxxx]
Sent: Thursday, March 15, 2001 10:47 AM
To: realtraders@xxxxxxxxxxxxxxx
Subject: [RT] Actual Vol
Alex,
Don in San Jose,
The actual vol. is calculated off the Black/Scholes model using the current
prices right?
And what is plotted is the actual vol versis actual implied?
It's getting deep and I need a definition of
Actual Vol
current ATM implied
current ATM actual.
ATM is At the money.
Best regards,
Don Thompson
----- Original Message -----
From: "Jacobson, Alex" <AJacobson@xxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, March 15, 2001 9:53 AM
Subject: RE: [RT] Mkt - OEX
> he most successful desk in the country trades an actual vol. using tick by
> tick calculation against VIX. The perception is that the actual
calculation
> is a measure of very short term momentum. I saw it first done a year ago
> and then I taught it and traded it. I first taught it at the San
Francisco
> money show. I couldn't do it in OEX, because then I prohibited from
trading
> OEX while at CBOE. So I just did it in big cap high volume issues. In
> essence there appears to be a natural range of "the difference" between
> current ATM implied and current ATM actual. The "values" or differences
> seem to be different for every underlying, but they seem to have a fairly
> regular pattern for every issue. In Sept. when I left CBOE I began doing
it
> in the OEX. It does not work as well in the OEX using VIX, because VIX
> needs to be adjusted to an actual implied. So I abandoned it and just
> calculated an ATM implied. Your absolutely correct that the proof is in
the
> trading .... I left a senior position at the CBOE so I had less trading
> restrictions .... that way I can trade it more. CBOE employees couldn't
> trade options ... so I had to trade the cash. Here I can trade
everything.
>
> -----Original Message-----
> From: BobR [mailto:bobrabcd@xxxxxxxxxxxxx]
> Sent: Thursday, March 15, 2001 9:49 AM
> To: realtraders@xxxxxxxxxxxxxxx
> Subject: Re: [RT] Mkt - OEX
>
>
> Doc, would you mind explaining what you believe is the difference between
> actual and historical. I believe a five day historical based on price
> created from the last five days is about as actual as you can get. Proof
is
> in the profits.
>
> bobr
>
> ----- Original Message -----
> From: "Jacobson, Alex" <AJacobson@xxxxxxxxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Sent: Thursday, March 15, 2001 6:41 AM
> Subject: RE: [RT] Mkt - OEX
>
>
> > Historical and implied are IMHO an absolutely worthless indicator.
> > Historical has taught us nothing. The trade is to understand actual and
> > implied.
> >
> > -----Original Message-----
> > From: BobR [mailto:bobrabcd@xxxxxxxxxxxxx]
> > Sent: Thursday, March 15, 2001 8:45 AM
> > To: realtraders@xxxxxxxxxxxxxxx
> > Subject: [RT] Mkt - OEX
> >
> >
> > Alex mentioned comparing implied and historical volatilities yesterday.
> > Here is a shot of the 5 day historical. Note that when it peaks over 30
> and
> > implied(red line) is over 30 you have pretty good odds for a trading
low.
> >
> > bobr
> > http://www.oextrader.com/sigma_trader
> >
> >
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> >
> >
> >
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http://docs.yahoo.com/info/terms/
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> >
> >
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> >
> >
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> >
>
>
>
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