Is Time Synthetic Volatility?

Discussion in 'Options' started by deltahedge, Jul 3, 2011.

  1. spindr0

    spindr0

    If time was the only variable that changed in a pricing equation, what else could you attribute that change to. The number of posters on ET? :)

    Theta isn't linear but from 200 days out until 80 days out it isn't far from it (it's accelerating verrrrry slowly). Avg the two and subtract the expected premium change and you won't be far off from the 2nd premium. So it's QED but very poorly done :)
     
    #11     Jul 4, 2011
  2. spindr0

    spindr0

    If IV of the near month is lower, it has dropped. If IV of the back months remains elevated, it's unchanged. If avg IV has dropped, it's lower. With all due respect, who cares? It's the IVs of the legs you're going to play with that determines the attractiveness of the strategy you're looking at (for example, a skew situation).
     
    #12     Jul 4, 2011