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.
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
Well, implied is easier to look up Agreed about the spread being interesting. Questionable as to how valuable vs misleading. Thoughts?
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