Hypothetical Option Strategy Question

Discussion in 'Options' started by jmsco, Jul 23, 2007.

  1. jmsco

    jmsco

    Thanks for the reply/replies atticus. A calendar spread as you described would have the greek characteristics that I want.

    Has anyone seen studies on the es return versus change in IV or VIX on a daily or intraday basis. How has this relationship changed over time or has it been stable? What would you estimate the parameters of the equation to be (IVreturn = a + b(ESreturn))? To begin with is it even a linear relationship?

    With change in IV being so closely linked to ES return, I think it would be interesting to discuss how to embed that relationship knowledge into our trading positions/decisions.
     
    #11     Jul 24, 2007