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--- en:volatility [2016/10/13 17:09]
playoptions [Video Tutorial]
+++ en:volatility [2017/12/29 15:03] (versione attuale)
playoptions
@@ Linea 1: / Linea 1: @@
 =====Strategy - Volatility=====
-This section of the strategy gives the chance to study the implied volatility of the options. It is composed of three parts: Volatility Index, Skew & Surfaces, Implied Volatility RealTime and eventually Vega IN / OUT.
+This section of the strategy gives the chance to study the implied volatility of the options. It is composed of five parts: Volatility Index, Options Smile, Skewness, I.V. - Realtime, and eventually Vega IN / OUT.
-|{{ :volatility_1.png?direct&800 |}}|{{ :volatility_2.png?direct&800 |}}|{{ :volatility_3.png?direct&800 |}}|
+|{{ :volatility_1.png?direct&800 |}}|{{ :volatility_2.png?direct&800 |}}|{{ :volatility_3.png?direct&800 |}}|{{ :volatility_4.png?direct&800 |}}|{{ :volatility_5.png?direct&800 |}}|
 ----
@@ Linea 14: / Linea 14: @@
 |{{ :film_camera_35mm_b_24.png |}}|13/10/2016|[[https://youtu.be/Qynh9tt2mVY?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Volatility - Volatility Index - Oscillator]]| 7:19|{{ :italy_24.png |}}|
 |{{ :film_camera_35mm_b_24.png |}}|13/10/2016|[[https://youtu.be/_N0vFISSW4Y?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Volatility - Skew & Surfaces]]| 14:01|{{ :italy_24.png |}}|
-|{{ :film_camera_35mm_b_24.png |}}|13/10/2016|[[https://youtu.be/zebACQ3-8tA?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Volatility - Implied Volatility Real-Time]]| 6:18|{{ :italy_24.png |}}|
+|{{ :film_camera_35mm_b_24.png |}}|13/10/2016|[[https://youtu.be/zebACQ3-8tA?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Volatility - I.V. Realtime]]| 6:18|{{ :italy_24.png |}}|
 |{{ :film_camera_35mm_b_24.png |}}|19/05/2016|[[https://youtu.be/4YOVbV-1RE0?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Volatility - Volatility - Come individuare il Trend [Parte 1]]]| 14:35|{{ :italy_24.png |}}|
 |{{ :film_camera_35mm_b_24.png |}}|19/05/2016|[[https://youtu.be/9ACBruEqmQc?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Volatility - Volatility - Come individuare il Trend [Parte 2]]]| 17:03|{{ :italy_24.png |}}|
+|{{ :film_camera_35mm_b_24.png |}}|29/11/2016|[[https://youtu.be/_K5eL2JO5hg?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Volatility - Stima della volatilità implicita]]| 13:22|{{ :italy_24.png |}}|
+|{{ :film_camera_35mm_b_24.png |}}|02/12/2016|[[https://youtu.be/U1wB41fpRIg?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Volatility - Comparazione Implied Volatility]]| 8:43|{{ :italy_24.png |}}|
 |{{ :film_camera_35mm_b_24.png |}}|24/03/2016|[[https://youtu.be/p71LY63_mws?list=PL4sktvLDfqTQinSncUVPd3NytIHrEHVoT| Volatility Index Comparison]]| 10:25|{{ :italy_24.png |}}|
@@ Linea 22: / Linea 25: @@
 ----
-====Il menù====
+===The menù====
 ===Strategy===
@@ Linea 67: / Linea 70: @@
 ====Volatility Index====
-{{ :implied_chart.png?nolink&600 |}}
+**Premise**: //volatility indices represent the implied volatility mediated by a series of options on different maturities. There are indices in which the implied volatility they represent is that
+rolling, ie the volatility of series of options that also imply different deadlines but not exceeding 30 days. \\
-The known Volatility index inform when volatity goes up or down, conversely  the volatility index built in Iceberg show whether is priced an up trend or a down trend!  \\
+For example, on the first day of the year, the index will only represent the implied in January while on January 15 the implied we will read will be the average of options that have 15 days of life on January and 15 days of life on February. \\
-This is more and more useful than the standard index! \\
+As you see it will always be 30 days. \\
-For example if we put the crosshair on 10/11/2015, the index price a probably down trend. After we see that it happen! \\
+Other types of calculation always represent implied volatility of options but grouped in different ways. \\ //
 \\
-If the index is above the zero it prices a down trend while the index is below the zero it prices an uptrend.
+We devised this algorithm because it lacked a Volatility Index that not only implied the implied volatility that I already find in the other indices, but give an indication (Index) of the probable trajectory of the underlying.
-The Iceberg's volatility index is an interpolation of implied volatility but it are not the midpoint of weighted volatility. It is different from VIX or VDAX o VSTOXX. It reflect the trend priced by Market Maker\\
+We have extended it to all the financial instruments and you can find it on actions, currencies, futures and bonds. \\
 \\
-For example during fall in volatility, the index can rise, this is due to the fact that the "conviction" of an uptrend is decreasing
+***Using***: Iceberg's Volatility Index is used both to evaluate the trend and to determine the time of upswing or downturn of volatility. There are two viewing modes that are: \\
+^Difference^Vol.Index Oscillator^
+|{{:vol_ind_diff.png|}}|{{:vol_ind_osc.png|}}|
+|{{ :implied_chart.png?nolink&600 |}}|{{ :implied_chart_2.png?nolink&600 |}}|
+===Difference===
+This mode allows to estimate the difference between the Volatility Index and historical stock volatility relative to 30,50,75,100,150 periods such as the difference between each historical volatility and another of a different period.\\
 \\
-The value expressed by classic index can be obtained through the mean of the implied volatility of the three option  "approximately" ATM measured on the three-month expire.
+Analyzing with the Volatility Index is important to determine if Market Maker is pricing (implied volatility) greater or lesser than historical volatility and therefore you know whether you will be handling discount or bonus options.\\
 \\
-If the underlying is at 103 and the strikes have step 5 you take the implied of : 100, 105, 110
+The analysis of historical volatilities is important, however, to understand the trend and the level of value of historical volatility..
-If the underlying is at 102 and the strikes have step 5 you take the implied of : 95, 100, 105
+{{ :volatility_1_diff.png?nolink&600 |}}
+In the above example shows the difference between the historical volatility at 30 days (selected in the menu Reference to Compare) with the historical volatility at 75 days displayed in the top graph.
+----
+===Vol.Index Oscillator===
+The Volatility Index can also be displayed as an oscillator, this type of display makes it easier to read and therefore decide if it is high or low volatility.\\
 \\
-**The Volatility Index in Iceberg is unique and it is under patent request.**
+Consider the empty spaces left by the indicator as shown, and in this way you will avoid many false signals.\\
+Since you are creating a relationship volatility-trend must understand that it will be long term and not for a day trading. It takes a position and is kept until the opposite signal.\\
+See in the image as in one year of measurements positions and the related changes would be only 6 with very few false signals (3) of very short duration.\\
 \\
-Iceberg compares the historical volatility and the implied volatility calculated by the system [[market_maker_surfaces|Market Maker Surfaces]]. This difference is shown on the lower graph.\\
+The green arrows on the chart indicate trends and Long are at the zone, located on the oscillator, to consider.\\
-\\
+Quelle rosse indicano trend Short.\\
-Every volatility can be selected or deselected by clicking on the name at the top.
+{{ :volatility_1_osc.png?nolink&600 |}}
+----
+====Options Smile====
+{{ :options_smile.png?nolink&600 |}}
+Options Smile shows the smile of volatility of call and put options of the surface stored for the underlying, in this regard is indicated when they refer to the displayed smile. If there is no curve the skews are flat and you need to acquire a surface with the tool [[market_maker_surfaces|Market Maker Surfaces]] available from the menù.\\
 ----
-====Skew & Surfaces====
+====Skewness====
 {{ :skew_surfaces.png?nolink&600 |}}
-"Skew & Surfaces" shows the volaility skew of the surface stored for the underlying. If there is no curve the skews are flat and you need to acquire a surface with the tool [[market_maker_surfaces|Market Maker Surfaces]] accessible from the tab [[general|General]].\\
+"Skew & Surfaces" allows real-time assessment of differences of skewness slope to the desired expiries. Show default the skew of the surface stored for the underlying. If there is no curve the skews are flat and you need to acquire a surface with the tool [[market_maker_surfaces|Market Maker Surfaces]] available from the menù.\\
 \\
 There are four graph: Chart 1, Chart 2, Call Surface e Put Surface.\\
@@ Linea 153: / Linea 187: @@
 ----
-====Implied Volatility - RealTime====
+====I.V. Realtime====
 {{ :rt_chart.png?nolink&600 |}}
@@ Linea 163: / Linea 197: @@
 \\
 When the strategy is open all data received of each leg are stored. Doing this every user can create a history of the implied volatility of the options that are dealing with.
+\\
+Sampled Vol. % refers to the volatility measured at the point where it was clicked on the chart.
 ----

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