It's All GREEK To Me....

Yes, that is what I meant.

 

Best way to select a benchmark asset (e.g. SPX) and measure beta-adjusted risk premium. Works for me.

 

I'm interested in this idea.

As long as you look at IV compared to HV on a % basis instead of an absolute basis, how is comparing beta to IV (or beta to premium as a % of underlying) in one stock vs another any different?

Are you doing this because you can find betas, premiums, and stock prices whereas you can't find HV and IV's?

Or is there an actual difference I am missing?

 

I am interested as well. sle, would you mind elaborating?

Excellent questions Jerkstore, by the way.

 

Comparing

IV(a) - RV(a) <> Beta(a, b) * (IV(b) - RV(b))

is not the same thing as comparing

IV(a)/RV(a) <> IV(b)/RV(b)