nitro
Registered: Sep 2001
Posts: 12521 |
11-07-09 01:54 AM
Quote from johntsai90:
Dear all,
I have this idea to create a dispersion strategy to trade options.
I am thinking to calculate the intraday realized volatility from last 5 bars in every 30 sec, and to compare the implied volatility from either 3-month delta 25 (Call & Put average) or near month ATM (Call and Put average), all in 30 sec as well.
Which one will you think its better to compare the richness and cheapness of the options, 3-month delta 25 (Call & Put average) or near month ATM (Call & Put average)?
I have found that whenever I have an idea, it is best to test it than to ask.
Get the data, roll up your sleeves, and prove it or disprove it to yourself. Just be ready for untold sacrifice of your life, and I am assuming you can already program.
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