Comments 0
bck官网

Volatility

Thetwotypesofvolatilitywerefertoonthissitearehistoricalandimpliedvolatility。

Historicalvolatilityismeasuredfromtheactualmovementofthestockoveratimeperiod。

Sothe20-dayhistoricalvolatilityorhv20ismeasuredfromhowmuchthestockhasactuallymovedintheprevious20-dayperiod。

Ifthestockmovesalotthevolatilitywillbehigherthanifthestockmovesverylittle。

Impliedvolatility,ontheotherhand,isderivedfromthepriceoftheoption。

Theimpliedvolatilityisderivedfromthedifferencebetweenthemarketpriceofanoptionandwhatthepricewouldbegivenwithjusttheinputsofstockprice,strikeprice,timetoexpiration,interestrate,dividend,andcosttoborrowstock。

Theimpliedvolatilitytellsyouwhatthemarketpredictsthevolatilityofthestockwillbegoingforward。

Iftheimpliedvolatilityishigherthanhistoricalvolatilitythenthemarketispredictingthatthestockwillmoveaboutmoregoingforwardthanithasinthepast。

Onapracticalbasis,whenpeoplebuyoptions,marketmakersraisethepriceandwhenpeoplesellthemoptions,theylowerit。

Impliedvolatilityisconstantlychanging。

Soifimpliedvolatilityishighonaparticularoptionorastrikeoramonth,itusuallymeanspeoplehavebeenbuyingthoseoptions。

(Whydopeoplebuyparticularoptionsinlargequantities?

Theymightbebuyingthembecausetheyknowsomethingyoudontknow;theymightbebuyingthembecauseofarumor;theymightbebuyingthemtohedgealargestockpositionortobalanceaportfolio。

)Whatdowemeanbyhigh?

Generally,wemeanhigherthanhistoricalforthesameperiod,butwemayalsomeanincomparisontootheroptionstrikesorexpirationsorincomparisontoimpliedvolinapreviousperiod。

Whenimpliedvolatilitygoesupthepriceoftheoptiongoesupbecausethereisagreaterchancethatthatoptionwillfinishinthemoney。

Soideallyyouwanttobuylowvolatilityandsellhighvolatility。

Withdirectionaltrading,volatilitymaynotbeyourprimaryconsideration,butitshouldbeconsideredasitshouldaffectyourchoiceofstrategy。

Volatilityhelpsyouassesstherelativevalueofdifferentoptions。

Someconsiderationsinvolatility:

Whenlookingatwhatoptionstobuyorsellitisimportanttoconsiderimpliedvolatility。

Evenifyouaremakingadirectionalplay,achangeinimpliedvolatilitycouldmeanthatthepriceoftheoptiongoesdownevenifthestockgoesinyourdirection,orgoesupevenifstockdoesntmoveormovesagainstyou。

Takealookatimpliedvolatilitycharts。

Ifyouareconsideringafrontmonthoption(themonthyouarein)thenyoushouldtakealookathv20orhv30vs。

iv20oriv30(30dayaverageimpliedvolatility)。

Ifyouareconsideringanoptionlinetwomonthsouttakealookathv60vs。

iv60andsoon。

Ifimpliedvolistradingconsiderablyhigherthanhistoricalthenthisissomethingtotakeintoaccount。

GraphofIV30(red)andHV30(blue)forAchillionPharmaceuticalsInc。

(ACHN)onJanuary18,2012?

SpikeuponDecember19thcorrespondstoatakeoverofanothercompanythatalsomakeshepatitisCvirus(HCV)drugsandrumorstheremightbeothertakeovers?

fromLiveVolPro

Itmightmeanyouwanttodoacallorputspreadinsteadofjustbuyingacallorput。

Alsolookatimpliedvolatilityovertime。

Isthisthehighestiv30hastradedallyear?

Youalwayswanttoaskyourselfwhyvolatilitymaybeupordown。

Hastherebeennewsaboutthisproduct,areearningscomingup,isitatakeovercandidate?

Youwanttomakesurethatwhatevereventyouarepredictinghasntalreadybeenpricedintotheoptions,thusmakingyourstrategylessappealingormakingonestrategypreferabletoanother。

Usingvolatilitynumbersinstrategies

Volatilityisapredictionaboutwherethestockwillbeinoneyearstime。

Avolatilitynumberof55,whetherimpliedorhistorical,meansthatinoneyearstockhasa68%chance(onestandarddeviation)ofbeing55%higherorlower。

Howmightatraderusethisinformation?

Saywearefeelingbullishandwanttoputonacallspreadorbutterflybutarewonderingwhere。

Wemightlookatthe30-dayimpliedvolatilityofanunderlying。

Letssayitis27。

Thatpredictsthatinoneyeartheunderlyingwillbewithin27%upordownofwhereitisnow。

Ifyouwanttoknowwhatthatpredictsforonedayoronemonthyouneedtodosomesquareroots。

Withabout256tradingdaysayear,thedailyexpectedmovementwiththeIV30at27wouldbe27/Sqrt(256)or27/16=1。

6875,thusa68%chanceofabitlessthana2%moveaday。

Similarly,with12monthsayear,themonthlyexpectedmovewouldbe27/Sqrt(12)or27/3。

46=7。

8,a68%chanceofalittlelessthanan8%movemonthly。

Ifyoudoublethosenumbersyougettwostandarddeviationsor95%probability。

Thisinformationmighthelpustodecidewheretoplaceourstrategiesbasedonthemarketsexpectationsofmovement(implied)andourconviction。

TheVIX,theCBOEMarketVolatilityIndex,isderivedfromthe30-dayimpliedvolatilitiesoftheSP500indexoptionsannualized。

SotheVIXwithapriceof25predictsthatinoneyeartheSP500willbewithin25%upordownfromitscurrentpricewitha68%probability。

Thistoocanbeworkedoutforthedayorthemonthdividingbythesquarerootsusedabove。

Skew

Volatilitytendstogoupleadingintoevents,soyoumayfindexpirationstradingatverydifferentvolatilitieswhenitisknownthatonemonthhasnews(earnings,FDAdrugapproval,courtdecision,etc)andanotherisnotexpectedto。

GraphofIV30forEbayfromJun2010toJan18,2012。

fromLiveVolPro

HorizontalSkew

Thisvolatilitydifferencebetweenmonthsisknownasahorizontalvolatilityskewortermstructurevolatility。

GraphofvolskewinEbayonearningsJan18,2012?

RedlineisoptionsexpiringJan21,yellowisFeb18,greenisApril21,lightblueisJuly21?

fromLiveVolPro

Thiscanleadtocertainstrategiessuchastimespreads。

Youmightthinkthatabackmonth(laterexpirationdate)istradingattoohighanimpliedvolatilityincomparisontohistoricalifthenewsishappeningbeforefrontmonthexpiration。

Soyoumightbuyvolatilityinthefrontmonthandsellinthebackmonth。

WewilldiscusstimespreadsingreaterdepthlateronandinrelationtoGreeksaswell。

Volatilityismeanreverting,butthetimeperiodisunknown。

Thereforeifyoufeelvolatilityishighandwanttosellit,youneedtoconsidertime-frame。

Optionsclosertoexpirationhavelargerswingsinvolatilitythanthosefartheraway?

Itissafertosellhistoricallyhighvolatilityfartheroutintime,butagainyouhavetokeepeventsinmind,likethenextearningscycle。

VerticalSkew?

Iv30,Iv60,etciseitheraveragedacrossweightedstrikesortakenat-the-money,butyouwillfindthatallstrikesinagivenexpirationdonottradeatthesamevolatility。

Thisiscalledverticalskew。

Inmostequitystockoptionstheskewissuchthatlowerstrikestradeatahigherimpliedvolatilitythanhigherstrikesuptoat-the-money。

Thentheskewmayflattenanddescendormaygoupagain。

Inthemajorityofequityoptions,the?

skewwillcontinuetodescend。

GraphofverticalskewinFocusMediaHoldingLtd。

(FMCN)onJan18,2012。

fromLiveVolPro

Thisbecauseequityoptionstendtocrashdownandgoupinanorderlyfashion。

Asyougetfartherawayfromat-the-money,optionshaveasmallervega,thismeansthatthepriceislessaffectedbychangesinvolatility。

Sotokeepanout-of-the-moneyputfrombeingofferedattoolowaprice,optionmarketmakershavetojackupthevolatility。

Soforanout-of-the-moneyputyoumayseevolatilitiesthatseemextraordinarycomparedtoat-the-money。

Ifoutofthemoneycallshaveelevatedimpliedvolatilities,thusmakingwhatiscalleda“volatilitysmile,”themarketmaybeindicatingthelikelihoodofaneventlikeatake-over。

Thiscanalsobereferredtoas“elevatedtailrisk。

”?

ForexampleRIMMattheendof2011hadgonedownsosignificantlyinpricethatthemarketcouldntimagineanymorebadnewssotheverticalskewlookedmorelikeacrookedsmilewithout-of-the-moneycallsshowinghighimpliedvolatilityontheexpectationthattheremightbeatakeoverorsomekindofchangeannouncement。

GraphofvolatilityskewinJan21,2012optionsofResearchinMotionLtd。

(RIMM)onDec19,2011?

fromLiveVolPro

Conversions,ReversalsandHard-to-Borrow

Putsandcallsofthesamestrikeusuallytradeatthesamevolatility。

Thiskeepsthereversalsandconversionsinline。

Ifyoubuyacallandsellaputofthesamestrike,yourgraphofprofitandlosslooksexactlythesameasifyouhadboughtthestock。

GraphfromOptionVolatilityandPricingbySheldonNatenburg,p。

215。

Thisisalsoknownasbuyingsyntheticstock。

longcall+shortput=syntheticlongunderlying

shortcall+longput=syntheticshortunderlying

Ifyouthensellthestockyouvedoneaconversion。

Theoppositeisareversal。

Ifyoumakemoneyonthisyouhavedoneanalmostrisklessarbitrage,but。

Usuallypricesarelinedupsothatyoucantmakemoneyontheconversionandreversal。

Ifyouseereversals/conversionsoutofline,forexampleiftheputsaretradingatahigherimpliedvolatilitythanthecalls,thiscanindicateafewthingsyoushouldbeawareof?

Theremaybeanunknowndividend。

Somecompanies,oftenforeignones,areknowntoannouncebigdividendssuddenlyorthedividendmaynotbeknown。

Orastockmaybehard-to-borrow(HTB)。

Inthiscase,tosellshortastockyouhavetopayyourclearingfirmashortinterestratewhichcanchangeday-to-dayandtheymightaskyoutocoverthatstockatanytime。

Thisprocessisverynon-transparent,prettymuchablackbox,soyoucantknowwhatyourinterestratewillbeorifthemoneyyouvereceivedinthearbitrageisenoughtocoverit。

ThesecanbegoodtradesifyouveproperlyassessedtheriskormaybeifyouaresleepingwiththeHTBpersonatyourclearingfirm,buttheyarenotsomethingthatwewillbegoingintoonthesite,atleastnotinthenearfutureexceptmaybetonotethesituation。

Volof?

Vol

Optionsthathavelargefluctuationsinimpliedvolatilityhavewhatisreferredtoasahighvolofvol(volatilityofvolatility)?

Aswenoted,optionsclosertoexpirationhaveahighervolofvolthanoptionswithlatermaturities?

Thisisalsoatoolforcomparingunderlyingsanddeterminingrisk?

Somethinglikeapharmaceuticalstockwillhavehaveoptionswithaveryhighvolofvolasthestock’sfutureiscompletelydependentoneventslikeclinicalstudies,FDAfindingsandcourtdecisions?

Stockslikethesemayhavehugehorizontalskewsbetweenmonthsaseverythingreliesonevents,sobewareofjudgingvolatilityhighorlowinthesetypesofstocks。


bck体育靠谱吗_bck体育不让提款_bck体育官网手机版b