ITS A-LIVE!! A big thanks to @jamesbp, @newwurldmn and @Matt_ORATS for their input. Now however comes the hardest part. How do I use it in a meaningful/productive way? So far that's what I'm doing: 1-I created a parallel table where I keep the trailing averages of the vols for the past N-days 2-In a third table I visualize the daily divergence from the average, to spot significant trends/changes. I am now in the process of retrieving data for specific market situations to see how the thing was shifting in that particular case. I don't know if I am going in the right direction or if it's just a pointless accumulation of data. I feel like having been given the keys of a forklift: got a general idea of how it should work, never actually operated one.
Two quick thoughts: • I have done what you did, but kept it at 6 colors. What you have done -- WOW. People should realize that that is not a *graphic* per se, but a *spreadsheet.* • Your work on differences may produce (heh heh!) certain "islands" of discontinuous sloping with regard to volatility (over time, OR over distance [delta]). It is full of profitable, tradable insight.
I have done a fair bit of modelling using the Corradu-Su model ( corrected for an error in the original specification ) and have a reasonable understanding of where it is useful and limitations are. If you want to share your spreadsheet, I am happy to see if there is anything I can add ... particularily in respect of the skew/kurtosis parameters you are using Cheers James
@tommcginnis ahaha.. actually the color was the easiest part.. there is an automatic feature in excel to do the blend effect. I just set blue-20 vol green-30 vol and red 40 vol and voila'.. are you by any chance still using excel 2003? @jamesbp sure.. pm me your mail address, but first promise not to laugh at my crude VBA coding..
Close: I was using OpenOffice. I didn't know!! I have been encouraged to change over to LibreOffice, and am in the process of doing so -- but some *deep* operations have been screwed, and the only way to get these subtleties to work again is to essentially re-invent them -- a process I do not relish. Nonetheless! Look what I just discovered -- over there on the right-hand side -- see that nice spectrum? I didn't make it: LibreOffice did. This is a screen capture of my "developments" spreadsheet, where I put all the templates and work-arounds that I've come up with, all in one spot. So across the top, you see a massive IF statement, to get more than three conditional formats into a spreadsheet that *thinks* it can only do three. HA! But now, with LibreOffice, .... I'll have neato kewl shading that didn't take me WEEKS to pattern correctly.... Phooey! Ah, well! On we march...!!
Now the source of the problem is clear.. to be honest, in the past I have been a big proponent of openoffice, but when you want to do more advanced stuff excel is sooo convenient. I'm not sure about the latest open office distros, however the one I used in the past for sure did not have any of the advanced math functions that I need when playing with my friend the IV surface...