Question about options

lasner · Sep 13, 2020

xandman said:
Yes, that is a very relevant inquiry. You want to model how much IV will pop in case of a large selloff. I suppose you are already looking at the VIX. You will find a lot of studies on it. Perhaps, the methods employed can provide guidance and inspiration.

FYI, the vol of commodities behave differently from equities. There is usually more convexity to the upside but there are also tighter correlations during major asset crashes which would give you the opposite behaviour.
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Great thanks for the advice!

Matt_ORATS · Sep 16, 2020

Here's IV30 day and HV20 days with earnings taken out and dividing one by the other:

https://gyazo.com/34e36b97481157530504dfa1a5f46146

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Question about options

lasner

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