SPX Credit Spread Trader

Yes this appears to quite accurately indicate 1sig. Just curious as to what you are trying to accomplish with it?

 

I thought he made it clear enough early on - he get's excited about deviant behavior.

TS

p.s. See there Mav, somethings are not as obvious to everyone as you may think. "Master Obvious" indeed. *chuckle*

p.s.s. Depending on what you really intend to do with it modeling what is essentially a discrete intraday process (M-F, 9:30 AM to 4:30 PM EST, excluding holidays ) as a continuous function of time, may or may not be suitable. *wink*

TS

 

Now THAT's Funny! I didn't think it was that obvious, but you ARE indeed the 'Master'!.

 

For quite awhile I've played with calculating Hist Vol against my EOD database using the established formulas, only to be frustrated by wildly varying divergences of reported Hist Vol on different reputable websites (including McMillans and CBOE among others). And yes, Hist Vol calcs depend upon the lookback period chosen, but in many cases I've not been able to match reported HV values even by dynamically shifting the lookback period.

And at the time you reported an SPX IV of 35 on Friday. my formula would have yielded an IV estimation of between 42 and 46 during the hour time frame preceding your post.

And to TrendSailor: VIX is reported real-time during the intra-day trading session, so IV on SPX can be dynamically calculated if you use VIX as the proxy for ATM SPX option IV's.

So here is the crux... My background is in programming/scripting, not statistics. And I can slice and dice accurate historical mkt data with relative ease. So I am going to do my own calculations of HV and IV and then do a look forward analysis of the results to validate historical Sigma 1(+/-) mkt move events in order to determine my own 'comfort zone' with spread levels.

I don't anticipate any earth shattering results that would keep me from sharing a little knowledge about my research.

I enjoy the analysis. Sometimes it keeps me occupied to the extent that I'm not losing money in the mkt.

D

 

the vix/vxo is much more valuable in predicting actual prob of touch. for the sp, even the atr is adequate with a large enough look back.

 

I vote to close this thread and start a new one.

 

I second your vote. This thread is far too diffuse now to be useful. Thanks to OptionCoach for all of his hard work in the early evolution of this thread.

RIP

Let's move on to a more productive and focused discussion.

 

VETO

 

Another Veto

 

I have nothing against continuing the discussion. I just think the thread should be closed. It has too many pages and is just too big.

Someone can start up an Credit Spread 2 thread which can be a continuation maybe.

OTM