This makes perfect sense, thank you Kevin
Could you give me an example of a time you put on a calendar spread?
Could you further explain?
Yea I have been doing some work with the moments into earnings. Ie.. seeing if wings are cheap or expensive based on the kurtosis of the past...
What am I looking for though? Like I can easily graph the spread between the 3 month and 6 month implied vols and place spread accordingly, but...
But does event day E also includes the time from 9:30 - 4? Because the formula i am using in the original post is to calculate the "gap risk" ie....
Indeed. Trying to find some flaws in the less liquid underlyings term structures. Have you come across any flaws in term structures?
.18/sqrt(2) = .12. Still not 18.8%
Thanks, I have read this article but still can not figure out the math. If we use AAPL as an example (because it is liquid so should be correctly...
When they say vol moves in root time. If one month AAPL vol is 17% what should the 2 month vol be? What is the calculation for this? Thanks in advance
the volatility of the jumps
I figured it out, thanks for your help. This is what I have come up with. If we look at KSS. The implied move is 3.516 which would be what you are...
Rob I also have a model on what I believe it should be however I want to know what the market is predicting the jump vol to be. For example in...
I am just try to calculate the jump risk premium in the options price, not the jump + vol during the day after earnings. What should I be using...
Hi Bob, the expected move is just the first standard deviation of the possible moves. But does that imply just the jump or does it imply the jump...
I am working on some earning trades and I am calculating jump vol as followed in this photo. However am I right in writing, jumpvol *...
Once again, my hero! Do you code in any other languages? I assume with your Think script skills (very basic language) you would also be good with...
What variables should I include in my study? Market Cap, Price to Cashflow, Div Yield? Anything you can recommend? Also it seems very rare that...
has anyone done a study to find which stocks/etfs/futures usually have realized - implied greater than 0? For example, low beta stocks usually...
L instead of an i. my mistake
Separate names with a comma.