Questions tagged [volatility]

For questions related to measurements of the range of returns for a given equity, bond, or market index.

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2answers
104 views

How to continuously plot futures data

Since futures trade on a contract by contract basis, how can you plot the price over an extended period of time? As a reference I have included a plot of VX futures (VIX CBOE volatility index) from ...
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1answer
29 views

For a mutual fund - if jensen's alpha keeps increasing with time, then how does beta of the mutual fund get impacted with time?

I am building an excel model to calculate rolling alpha at a monthly level to analyze different equity mutual funds. Along with the rolling alpha, I am also calculating rolling absolute returns and ...
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1answer
560 views

What are pros and cons of volatility trading over directional stock trading

Is it true or just my misconception that pro traders trade volatility while retail readers try to predict stock direction (unsuccessfully most of the time). What are the pros and cons of trading ...
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0answers
77 views

Any ETF composed of high volatility stocks? [closed]

Question I am looking for American stocks showing high price variance (volatility) Rather than calculating historical price change to check the individual stock's variance, I would like to find a "...
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1answer
186 views

What possible reasons are behind the GBP -> EUR rate being the same for a few days?

The GBP -> EUR exchange rate has been stuck at a value of 1.11 since Saturday 7 of September, up from 1.10 since the day before. This seems to me highly irregular, as if all trading activity has ...
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2answers
66 views

Options Volatility and Settlement during a merger and acquisition

I'm trying to figure out how the vol of an option on a target change when the deal is a mix of cash stock. We know that in a cash deal, vol creeps to 0 as the deal collects approvals. Stock deal, vol ...
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8answers
23k views

Why does a call option's price increase with higher volatility?

As per the Black-Scholes model, the value of a call option is directly proportional to the volatility. Without getting into the derivation of the BS equation, is it possible to intuitively understand ...
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3answers
184 views

What are the most highly leveraged ways for a retail investor to bet against volatility (or inverse volatility)?

I am aware that there is an inverse VIX ETF, but it is not leveraged. The only other way I can think of is to buy VXX puts? Is there another method I am not aware of that provides more leverage?
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1answer
117 views

Can ETF be short-squeezed?

Can ETFs be short-squeezed? I'm not familiar with how they work. For ETFs like SPY, it seems it buys and sells stocks in the portfolio. For ETFs like UVXY, it seems it has no real stocks. How does ...
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1answer
200 views

How much does the volatility change for a 1$ move in the underlying

Is there a quick and dirty way to approximate how much the volatility of an underlying would change for a 1$ move in the underlying. The individual option Greeks measure the sensitivity of an option ...
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1answer
502 views

Estimate a future option price given greeks and a 1$ move in underlying

Let us say underlying is at 50$, and the 50 call is at 0.50. delta=0.5, gamma =0.5, theta = .02, vega = .10. I apologize if these numbers are not realistic, I am very poor at Greeks. My question is: ...
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1answer
61 views

Is it likely for large buy to open orders to be filled on thinly traded options?

Suppose you are very bullish or bearish on a stock but its options are thinly traded. Some stocks have an options market that doesn't exceed $200,000 even around earnings time. Say you want to ...
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1answer
125 views

Are there option strategies that exploit mergers and acquisitions events?

Are there any option strategies that can profit from mergers, acquisitions and buyouts? I don't mean insider trading. I mean after the news is out but the deal has not taken place yet, are there any ...
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1answer
206 views

What's the difference between a variance swap and a long straddle option trade?

A long straddle is when one is anticipating a swing in stock price, but you’re not sure which direction it will go. And a variance swap is a financial derivative used to hedge or speculate on the ...
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6answers
8k views

At what point do index funds become unreliable?

Passively investing in exchange-traded funds that track some broad index is often recommended for private investors that don't have the time or expertise for active investment. In particular, index ...
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3answers
799 views

Volatility indicator

Is there an indicator for the volatility of a stock? When I say indicator I mean like P/E ration, book value etc. If yes, where can I find it? I follow yahoo finance by the way.
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1answer
231 views

How to deal with activist targeting of individual stocks?

My portfolio contains stocks in specific American companies which I bought when I figured their stock was underpriced. Now there are public attacks against some of these individual companies that ...
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4answers
895 views

What happens to all of the options when they expire?

Most option traders don't want to actually buy or sell the underlying stock. They just use options as a trading vehicle perhaps making money on the time decay, on changes to volatility, etc. My ...
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2answers
124 views

Where to find detailed information about stock?

The typical information about stock is historical prices, volatility and similar metrics that can be easily found. However, where can one found reliable information about the number of issued stock, ...
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1answer
766 views

Does technical analysis work on penny stocks?

Does technical analysis work on penny stocks? If yes, and we're talking about stocks that trade under $3, is there a point at which it stops being effective? If yes, does technical analysis work the ...
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1answer
69 views

Is there an equivalent of writing calls on personal real estate holdings

Where possible I like the ability to write calls on the underlying asset for the residual income in a low-medium volatility environment Is there the equivalent of doing this with real estate? I am ...
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0answers
286 views

Are there speculative ETFs analogous to investment funds?

Are there ETFs that bundle up highly speculative investments with high risk/reward profiles? For instance, they might currently include Zambian, Nigerian, Brazilian and Venezuelan bonds; ...
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1answer
71 views

Price of a call at expiration

I have a covered call that is going to expire in 15 minutes. It's $1.30 in the money. I'd expect with no time value left, the price to equal the intrinsic value ($1.30). However, it's still valued at $...
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1answer
140 views

Metrics for screening stocks for pivot trading

I've been looking for tips on screening stocks that are a good fit for pivot trading. I've tried Ameritrade, ShareBuilder, NASDAQ and some other screeners but I don't see a metric for volatility which ...
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1answer
112 views

What indicators should I look for when investing in various stocks or funds?

Say I want to manage my own portfolio of stocks or funds, which key indicators should I primarily look for? To me there are few, although I'm not sure they are the most relevant: Sharpe ratio ...
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1answer
943 views

What is the daily rebalanced leverage ratio that is ideal for the S&P 500 based on past performance?

This question assumes an investor with a very low risk-aversion coefficient. The risk-aversion coefficient is basically the 2nd-derivative of an investor's utility function as a function of money. An ...
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0answers
262 views

Hong Kong Dollar Options

I would like to bet on a de-pegging of the Hong Kong Dollar from the USD. Even though the volatility is perfect for an options trade, it seems hard to find any for the retail investor. Is anyone aware ...
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0answers
214 views

Does the FFT of a price series hold any significance?

I'm just wondering whether spectral/frequency information (by means of a Fast Fourier Transform) about a stock's price series holds any significance in investment? My expectation is that it would ...
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1answer
127 views

What does “half weighted” mean in this context?

The flip side of a strong dollar is weakness in other currencies. The U.S. dollar index is about half weighted in the Euro, and that unit broke down to multiyear lows. However, the Euro has been ...
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0answers
158 views

How to consider the effect of margin call risk in a gamma scalping strategy

I am trying to tippy toe into volatility trading and volatility strategies. So I was reading Sheldon Natenberg where he starts off with a portfolio of long ATM call and short 50 shares of stock to ...
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3answers
864 views

Fund or ETF that simulates the investment goals of an options “straddle” strategy?

With all the market volatility of late, I was thinking that it might be a good short term strategy to employ a straddle approach. For those not familiar with Options trading: This is a strategy ...
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1answer
4k views

Where can I find Bitcoin Misery Index?

There has been a lot written about Bitcoin Misery Index: The index is called the Bitcoin Misery Index (BMI) and was designed as a trading tool for investors to take advantage of volatility in BTC ...
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3answers
1k views

Rate of change of beta

While viewing data for an individual stock, I always want to see how much the beta has changed. I see this useful for three reasons: Trends (up, down, or stable) in the beta The 60-month beta hides ...
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2answers
246 views

Getting correlation from regression slope (Completely stumped)

This question is from a book (Active Portfolio Management), but unfortunately there are no provided solutions. "Assume that residual returns are uncorrelated across stocks. Stock A has a beta of 1.15,...
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1answer
105 views

Do Stop Loss orders make sense even though they increase volatility?

If most people add Stop Loss orders to their portfolios, then when the market "corrects", then all these SL triggers will fire, but there won't be enough buyers, so prices will fall further, and ...
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1answer
425 views

Why are profit/loss constantly adjusted in futures contracts if the goal is to protect against volatility?

In this article: http://www.investopedia.com/university/futures/futures2.asp?header_alt=g In the chapter "Profit and Losses-Cash Settlement", the author describes that profit and loss are governed by ...
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2answers
105 views

Short term (3-4 yr) positions, willing to take higher volatility [closed]

for my fiancé’s birthday I would like to open her an investment or savings account with a small amount of capital (~$500/1000) to be used as a short term investment account. The goal would be to reach ...
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1answer
108 views

In option pricing formulas, is the volatility and short rate a decimal or a percentage?

In the BS option pricing formula, when entering values for volatility and short rate, do we enter them as percentages or decimals? Take the time unit to be a year, i.e. if we want to price something ...
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3answers
8k views

Why do volatility stocks/ETFs (TVIX, VXX, UVXY) trend down in the long-term?

I've noticed that stocks/ETFs that measure volatility (TVIX, VXX, UVXY, XVZ) are all trending down massively (eg VXX going from $7000/share on 3/09 and on 6/16 it is around $16/share) in the long-term ...
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2answers
431 views

How is options implied volatility for a stock determined?

For any given stock in Interactive Broker's TWS (and I bet with any other broker), there is an option's historical volatility and an option's implied volatility. I know the historical volatility is ...
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3answers
342 views

Why does increased volatility always mean higher call prices?

I understand that apparently implied volatility of a call option increases as the underlying price of the stock deviates further and further from the moving average. That mostly makes sense, because ...
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1answer
527 views

Why IV and stock price are inversely related

What is the reason that Implied Volatility and Stock Price are inversely related? Is it possible to understand this qualitatively without getting into the math of the Black-Scholes formula?
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1answer
387 views

What's overnight volatility?

https://www.ig.com/uk/view-ig/2016/09/20/the-central-bank-fest-ramps-up-34452 In the FX market, USD/JPY is the pair to watch through Asia today, with the options market showing implied overnight ...
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1answer
740 views

How to read an implied volatility percentile chart

In this free source of volatility data, there is a column Days/Percentile. How to interpret this? It says: Days:the number of days back for which implied volatility has been calculated Percentile:...
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1answer
141 views

Collecting Dividends while insulating volatility through options?

Is it possible to use options to collect dividends on stocks while insulating yourself from the volatility? If so, how? e.g., If I bought 100 shares of a REIT but didn't want to expose myself to ...
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2answers
175 views

Trading intraday fluctuation vs. volatility-based option

Recently a question was asked about actively trading stocks based on small fluctuations in price. It seems like if you wanted to do the strategy described here, you might as well buy an option like a ...
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2answers
178 views

How should I use the Volatility Index?

I do have a basic understanding of the Volatility Index (Chicago Board Options Exchange Market Volatility Index), but I wasn't sure how this index is best used by an individual, average investor. ...
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2answers
1k views

How to understand a volatility based ETF like VXX

The ETF VXX is based on the volatility index VIX. If volatility goes up, VIX goes up and VXX goes up. Similar thing for the downside. Now when I buy an ETF like SPY, I can conceptually understand that ...
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1answer
138 views

How was the media able to identify that certain VIX put and calls were made by the same entity?

From the article below, how can someone be certain all these trades were performed by the same entity? To fund it, the investor sold approximately 260,000 VIX puts expiring in January with a ...
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1answer
166 views

How to read options prices

I have been doing research on Options and thus far most of it has been relatively theoretical (mainly pricing models and put/call hedging strategies). Recently I have been looking into actually ...