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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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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Is Implied- and Historical Volatility based on solely Business days?
I'm trying to compare historical and implied volatility for different stocks. Still, since I can't tell what these numbers are based on (for historical volatility) and referring to (for Implied), I'm ...
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confusion about gamma and gamma portfolios
Generally, a long gamma portfolio will make money when the underlying:
(a) out-realizes the historical volatility (measured close to close)
(b) out-realizes the implied volatility (more than making ...
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When using the VIX index, is it similar to calculating volatility?
Im trying to understand the VIX Index, it gives the implied volatility of the S&P500.
Now if I was to calculate the volatility of the S&P500 using standard deviations of the returns over a ...
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Why isn't "everyone" short VXX?
I'm going to attempt to keep this question short instead of providing some rambling, and very likely, wrong explanation of the question.
As far as I can tell from my novice research the VXX note is ...
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Duration required for stock beta calculation
I am using stock beta as a parameter for calculating intrinsic value of a stock using DCF method.
I know how to calculate beta of stock, but I want to know what should be length of historical data (...
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Implied or historical volatility to calculate theoretical options price with black scholes?
According to the black scholes model, volatility is one of the variables to calculate the fair price of an option. However, it doesn't specify which volatility should I use. Should I take the ...
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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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Volatility cost of buying Vanguard ETFs before market open on e-trade
I am buying Vanguard ETFs on e-trade. For the purposes of this question, suppose I am buying VO (a multi-sector mid-cap fund). It is a popular symbol (share class total net assets: 51B).
I typically ...
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What is the real return of a portfolio? Markowitz vs "real" return
I am working with mean variance optimization (MVO) and as such after "training" my model I test the results on a test dataset. Markowitz states that the return of a portfolio is the "...
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How do stock volatility halts work?
I was watching GME stock on Feb 24, 2021, and it halted twice:
once at 3:38pm ET, and it resumed trading at 3:43pm ET
again at 3:46pm ET, and it did not resume trading until after 4:00pm ET
This is ...
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General formula to understand standard deviation of a stock price over a time horizon?
A book that I'm reading (Paul Wilmott, Derivatives) states the following:
The standard deviation of the stock price over this time horizon is
$$ \sigma S = \sqrt(1/52) $$
where, the time horizon is ...
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Calculating volatility percentage for a given time period
I am looking at an EMEA liquidity report.
One measure I am interested in is the volatility. The report includes a list of various indexes and the "Average Volatility " for a period of 5 days ...
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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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Who is counter party to leveraged ETF e.g TQQQ
I was looking at return of TQQQ, and was surprised with result.
I understand that, it is not equity based ETF, and is using derivatives. But I could not understand who is acting as counter party of ...
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Why would long-term investor care about volatility? [duplicate]
I'm 35 and I want to start investing for my retirement. My question is, why would you care about volatility if your investment horizon is 30+ years? In order to get a more clear picture of volatility ...
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Why have some stocks spiked then crashed, all within 30 days?
I'm referring to stocks that peaked like a mountain than crashed, but that weren't short squeezes. Is this Irrational Exuberance? If you know more examples, just edit this post please.
I know little ...
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What’s the formula to estimate stock price (in a week or month from now) using implied volatility?
Let’s say a stock trades at $45 today and has IV of 92%. I wanna get a rough range of where the stock might be in a week from now, let’s say $32 to $58 in a week, based on the IV 92%. How do I get ...
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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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How is "beta" relevant to long-term ETF investors?
A portion of my investment portfolio is in index-tracking ETFs. On the whole, my ETF portfolio is diversified across many countries and industries. I intend to hold these ETFs for 20-40 years. I ...
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How to calculate a trailing stop loss for a gamma squeeze?
I'm pretty sure AMC is going to hit crazy prices in a couple of weeks to months. A Korean AI traded fund just dumped Facebook and Wallmart for AMC. Plus, I got in a pretty big fight with some ...
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Rapids (RPD) cryptocurrency: 3190500% increase in 1 hour
I noticed that the price of Rapids (RPD) cryptocurrency increased by 31,915,000% (market cap: $400bn) in 1 hour yesterday on 8th May. Shortly after (5-10 minutes), the price dropped by 99.6% (market ...
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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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Why can’t I short Game Stop right now?
I attempted to put in a small short sell order for GME (since I believe the price is currently way overvalued at >$300), but it said the order could not be performed because there are no available ...
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Best place to keep savings for home down payment?
I'm currently saving for a first home down payment (in USA), but don't want to keep a large pile of money sitting in a low-yield savings account while I'm looking for the right home. I want to find a ...
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What does it mean to long the convexity of options?
In this Bloomberg video, Curnutt talks about volatility and the convexity of options. Specifically, he says;
The spread between the VIX sitting there at 20 for a period of time and this realized vol ...
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Is it possible to improve stock purchase with limit orders accounting for volatility?
As a retail investor that puts a certain monthly amount into equity, I was wondering which is the best way to proceed when purchasing stocks. By best I mean the one that would allow me to purchase the ...
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Difference of NAV and market price on stock shares and funds
For the case of companies, my understanding is that the NAV (net asset value) is all its assets minus its liabilities. Then, this value is divided by the total number of shares the company has issued ...
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Buy and hold VIX futures for guaranteed profit?
This question was inspired by this Motley Fool article: VIX Investing: Why Not Just "Buy Low Fear, Sell High Fear"?
Buying low fear and selling high fear seems to be a guaranteed profit ...
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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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How to make money from a downward European market?
The trader Alessio Rastani speaks in a BBC interview about the development of the Euro zone and his predictions are quite severe. He predicts a crash within the next 12 months but is also telling ...
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If the UVXY and SVXY ETFs both track the same VIX futures, why are they so different?
Both UVXY (https://www.etf.com/UVXY) and SVXY (https://www.etf.com/SVXY) track the first- and second-month VIX futures positions. SVXY, however, is an inverse tracker while UVXY is not. What I don't ...
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Mysterious stock dips [duplicate]
I am relatively new to the stock market and might not know all the useful terminology, so bear with me as I will do my best to explain what I am trying to grasp and hopefully I will be able to learn ...
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At what % about the stock price should I sell and take my profits? [closed]
at what percentage above the cost price should you walk? prices fluctuate therefore? what should the end point be?
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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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How can I affect implied volatility of an option?
Implied Volatility represents the actual above-market premium an option contract trades for at any point in time, but it changes in mysterious ways.
If I wanted implied volatility to be higher, could ...
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How does one lose money when reasonably buying with leverage?
I'm one of the newbie retail investors that this guy (and presumably a lot of his colleagues) seem to hate.
Ironically, my biggest loss was from agreeing with specialists that the recent rally is ...
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Very short-term drop in stock price
When looking at stock price charts, you sometimes see a large drop in the price for just a short amount of time.
Is this simply an error in the presentation of the chart, or has the price actually ...
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Ballpark range for an IV Crush
I would love to enter a few options trades but have learned (the hard way) that moves from high to low IV can mess the returns even when calling the right direction of the move. This is explained in ...
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Why did the VIX trade for so much around Q4 2011?
It looks like the TVIX in 2011 was trading at some unimaginable prices. $2B USD? Marketwatch has these same numbers.
Were these numbers real? How? This seems like an amazing bit of trivia from ...
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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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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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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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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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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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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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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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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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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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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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