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Re: Trading with Market Statistics. IV Standard Deviation
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<<Also each of the terms in the sum should be the same VWAP :
value1= P1*square(C-VWAP) + P2*square(c[2]-VWAP) + .....>>
this is not intutive to me... I would then be comparing the current vwap to old prices.. |
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Yes, that's correct. Think of the following: Suppose you had just one VWAP value say at 12:30 and you wanted to know its variance. You would compute the difference between that value and all the old prices. Take the square of each difference and sum them up to get the unnormalized variance.
__________________
JERRY
---I'm going to trade til I'm 100, or die trying----
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