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--- en:volatility [2017/05/18 12:20]
playoptions [I.V. Realtime]
+++ en:volatility [2017/12/29 15:03] (versione attuale)
playoptions
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 =====Strategy - Volatility=====
-This section of the strategy gives the chance to study the implied volatility of the options. It is composed of five parts: Options Smile, Skewness, I.V. - Realtime, Volatility Index, 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_4.png?direct&800 |}}|{{ :volatility_5.png?direct&800 |}}|
@@ Linea 25: / Linea 25: @@
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-====Il menù====
+===The menù====
 ===Strategy===
@@ Linea 65: / Linea 65: @@
 |{{:eng_menu_pan.png?nolink }}| once activated by pressing and holding the left mouse button you can move the surface by moving the mouse||
 |{{:eng_menu_reset.png?nolink }}| it reset all graphical changes and return to the initial view||
+----
+====Volatility Index====
+**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. \\
+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. \\
+As you see it will always be 30 days. \\
+Other types of calculation always represent implied volatility of options but grouped in different ways. \\ //
+\\
+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.
+We have extended it to all the financial instruments and you can find it on actions, currencies, futures and bonds. \\
+\\
+***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.\\
+\\
+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.\\
+\\
+The analysis of historical volatilities is important, however, to understand the trend and the level of value of historical volatility..
+{{ :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.\\
+\\
+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.\\
+\\
+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.\\
+{{ :volatility_1_osc.png?nolink&600 |}}
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@@ Linea 76: / Linea 125: @@
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-====Skew & Surfaces====
+====Skewness====
 {{ :skew_surfaces.png?nolink&600 |}}
@@ Linea 150: / Linea 199: @@
 \\
 Sampled Vol. % refers to the volatility measured at the point where it was clicked on the chart.
-----
-====Volatility Index====
-^Difference^V.I. Oscillator^
-|{{ :implied_chart.png?nolink&600 |}}|{{ :implied_chart_2.png?nolink&600 |}}|
-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!  \\
-This is more and more useful than the standard index! \\
-For example if we put the crosshair on 10/11/2015, the index price a probably down trend. After we see that it happen! \\
-\\
-If the index is above the zero it prices a down trend while the index is below the zero it prices an uptrend.
-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\\
-\\
-For example during fall in volatility, the index can rise, this is due to the fact that the "conviction" of an uptrend is decreasing
-\\
-The value expressed by classic index can be obtained through the mean of the implied volatility of the three option  "approximately" ATM measured on 30 days rolling.
-\\
-If the underlying is at 103 and the strikes have step 5 you take the implied of : 100, 105, 110\\
-If the underlying is at 102 and the strikes have step 5 you take the implied of : 95, 100, 105\\
-\\
-rolling means there are always about 30 days sampled in this way:\\
-on 1 March: there's only the volatility of March expiry\\
-on 15 March: there's the volatility of March expiry + April expiry volatility divided by 2\\
-on 29 March: there's the March expiry volatility divided by 30and multiplied by 1, + the April expiry volatility divided by 30 and multiplied by 29.\\
-Note: about why our formulas are proprietary and therefore omit the part of the weighing of other maturities (exponential weighted).\\
-\\
-**The Volatility Index in Iceberg is unique and it is under patent request.**
-===Difference===
-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.\\
-\\
-Every volatility can be selected or deselected by clicking on the name at the top.
-The chart below is designed for comparing different historical volatility. When you click the Difference button the next menu is enabled which allows you to choose which historical volatility comparison with those seen in the top graph.
-{{ :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.
-----
-===V.I. 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.\\
-\\
-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.\\
-\\
-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.\\
-{{ :volatility_1_osc.png?nolink&600 |}}
 ----

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