i'm talking about the spike in implied volatility. the 50% area is a 2 year relative extreme.
sell some premium there,
Trajan, I actually came across that paper as well...pretty interesting. Looking forward to seeing what you find.
Trajan, that's a good point about outliers, and taking the median probability is probably a good fix. Would you be willing to share your findings...
Trajan, please keep me up on what you find. Also, what software are you using to test this? Aside from using neural networks, it could be done...
Just brainstorming here...is anybody trading vol on sectors in a seasonal manner, ie like seasonal spreads in futures but without the pair-trading...
you can't determine whether premium buyers or sellers were more profitable just from looking at historical IV & SV charts. intra-day average...
I'm talking about from an off-floor trader's perspective...ie; just making vol bets in special situations as opposed to making markets. I can't...
Straddler, how do you calculate your daily b/e though? Using the square root of time method I outlined? Also...out of curiousity -- why do you...
I was wondering if you guys use the same methodology to determine your gamma scalping break-even points on a delta-neutral trade (ie "theta...
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