Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

brunotata

Constructing Volatility Indexes Without the Use of Options or Futures

Recommended Posts

Hi there.

 

I'm currently trying to construct a volatility index sort of like the VIX or the VXTYN (the S&P volatility index or the ten yr US bond volatility index). However there are no readily available option or futures prices. Just wondering if this has been done before, and what methodology has been used.

 

Thanks all!:crap:

Share this post


Link to post
Share on other sites

What exactly are you looking for ... besides the ITM, ATM, DITM values for each option within a certain time frame? If you are let's say looking at an option for Stock X and let's say that the option expires in 30 days then just use the standard Stock X chart on a 4 hour time frame from the day you entered until the time you wish to exit or at expiration. You can just insert a volatility indicator for the measurement on the chart sub-section. You can also look at the greeks and determine based on volatility what is happening ... AND at the same time have the Stock A's chart to review.

 

And if you are trying to trade a binary ... well you better make sure your charting platform and data feed allow you to use millisecond as opposed to tick or one minute ... and you have to make certain that [since it is a heads/tail coin toss game] that they do not take the full sum [100%] when you loose and only give you a portion [80%] when you loose ... because sooner or later your account will be depleted ... if not from the few losses but the commission costs for a round turn.

 

Hope this helps!

Spikeygirl

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.