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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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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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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How do I calculate drift from a series of stock prices?
Say I have stock prices
100 120 140 160 180 200 210 .... X
every day for a year.
How do I calculate drift and volatility?
I am trying to find some formulas online, but I am confused by terms ...
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What is Risk Parity?
Just heard this term used on TV. It seemed to be referring to some sort of automation. How does risk parity stabilize/flatten the markets?
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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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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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What are some signs that the stock market might crash? [closed]
I have about one year of experience as an investor and my goal is to aggressively grow my portfolio over the next 40 years for retirement. I have had good success achieving my goal over the last year ...
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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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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 ...
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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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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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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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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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Finding Uncorrelated Assets
I own a particular security. How can I find another security, which has uncorrelated or negatively correlated (anti correlated) returns with the one I already own? I would like both securities to ...
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Dealing with event driven market volatility
As a bit of background information, I'm a Canadian novice investor. I've dealt mostly in stocks and have done pretty well in the past year (+25%).
I'm concerned about market volatility once the US ...
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VIX and XIV moved in same direction?
Both VIX (S&P 500 volatility index) and XIV (the inverse) decreased price today. Aren't they supposed to have the exact opposite percentage gain/loss intra-day?
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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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How to explain quick price changes early in the morning
I don't have much experience trading and wonder why there was a large change just when the market opened. I daytraded my portfolio and started only recently. As expected, in the morning when the ...
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Accepting high volatility for high long-term returns
According to modern portfolio theory investors can pick a trade-off between expected returns and volatility along a certain curve.
If someone is investing for the very long term (decades until ...
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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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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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why do energy stocks trade at lower prices compared to other sectors?
In researching some additional stocks I want to acquire, I've noticed many energy stocks trade at lower prices and exhibit a large amount of volatility. Why is that despite the fact energy is a basic ...
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Zero volatility stocks in intraday trading in India
I am an intraday trader in India. Out of 150 stocks which are permitted for intraday trading on NSE or BSE I would like to know of a way to find out which stocks have close to zero volatility.
My ...
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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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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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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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Why can I see/trade VIX but not S&P/TSX 60 VIX?
I am using Questrade and if I do a look up for VIX.IN, I find it:
However, I can't find S&P/TSX 60 VIX:
Why is this?
I can see that it is being traded...
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How can this stock have an intra-day range of more than 90% on 24Aug2015?
I am looking at this stock BKCC and was shocked at one point at its price of only $0.97. Just within 1 hour of opening, BKCC traded between $0.97 and $9.5.
How can this be so, particularly when it is ...
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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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Stock market - Searching for rate of change
Suffice to say, most investors/traders have their own personal strategy and I would think it is reasonable to assume that each strategy has an ideal rate of change.
For the sake of argument, lets ...
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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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How is a long call and short stock portfolio equivalent to lending money
In his book 'Volatility Trading' Euan Sinclair writes that a hedged portfolio of long call and short stock is equivalent to lending money.
He did not provide much clarification, so I am wondering, ...
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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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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 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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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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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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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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Why we sometimes use mean and sometimes use standard deviation to measure volatility
Both the metrics average true range and historical volatility measure volatility of a financial instrument's price. Average true range measures volatility on an intraday basis, while historical ...
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Why Gamma shares an inverse relationship with volatility
At this TOS tutorial
On page 3:
Tom Preston: Gamma increases when the option is at the money, the
option is close to expiration or volatility is low
I am confused about 'volatility is low' part....
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What exactly am I buying when I buy volatility
When I buy a share in a company, I buy a piece of the company, however small.
In recent times, there is a lot of interest in trading volatility. Now my first question is: when i buy volatility (by ...
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Why VIX shares an inverse relationship with SPX
Why is it that when the s&p 500 index as tracked by the SPX goes up, the corresponding volatility index as tracked by VIX goes down.
I understand that volatility is directly affecting the price ...
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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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Why is volatility in a positive direction clubbed in the same risk category as volatility in a negative direction?
Let's say a stock's price has been steadily rising for the last 6 months.
It's going to have (a relatively) high volatility.
Let's say another stock's price has been falling steadily for the last ...
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Is the average true range a better measure of volatility than historical volatility
The calculation of historical volatility only takes into account the closing stock prices. Is it a better measure of really how volatile the stock is as compared to a measure like average true range? ...
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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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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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Online service that computes implied volatility [closed]
Is there a free online service that will give me the Implied Volatility of a stock or ETF based on the current option price? Or do I need to calculate myself in excel? I found this resource on IV
but ...
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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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Inverse Relationship between Volatility and Beta
From P78 in ETF for Dummies, 2nd Ed, by Russell Wild :
Beta’s usefulness is greater for individual stocks than it is for
ETFs, but nonetheless it can be helpful, especially when gauging the ...
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