The most downwardly volatile market in general

Discussion in 'Trading' started by sj8070, Sep 7, 2012.

  1. sj8070

    sj8070

    hi all,

    I am currently working an one of my most promising and interesting strategies to date, and I look forward to sharing it with this forum once complete.

    But first, a question...

    Which is the most downwardly (or upwardly (e.g. VIX)) volatile security in the marketplace since 2007?

    i.e. assume all securities have a neutral bias (EMH) but we can speculate that one direction may be more likely than another, as the magnitude of any given move may differ

    For example, in the period, S&P went up with ~55% probability over any given day. Here i force the beginning and end levels (1406.58) to be the same to reduce any bias.
     
  2. sj8070

    sj8070

    let me rephrase

    The S&P is more likely to go Up than Down on any given day.

    This does not mean the S&P tends to trend upwards necessarily - Down moves tend to be bigger than Up...


    Is there another market that is more extreme than the S&P, generically, in this regard?

    i.e. has very large down moves and small incremental up moves
     
  3. promagma

    promagma

    Make a synthetic trading vehicle based on martingale strategy
     
  4. Look at the implied volatility skew for different asset classes.
     
  5. sj8070

    sj8070

    Implied or actual?

    In fact a spread between the two might be the most interesting measure
     
  6. Well, implied is easier to look up :)

    Agreed about the spread being interesting.

    Questionable as to how valuable vs misleading. Thoughts?
     
  7. sj8070

    sj8070

    for the last few days I have been comping Implied vol (same for both calls and puts due to put call parity) and Actual downward vol

    Implied vol is in fact higher by a touch on the S&P.

    Selling OTM puts is a long run winner, clearly due to the increased prevalence of Long RM portfolios hedging with OTM puts

    But my work on binaries is not finished, I have something, I'm just not sure why or how it works

    more to follow