Strumenti Utente
en:volatility
Differenze
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| Entrambe le parti precedenti la revisione Revisione precedente Prossima revisione | Revisione precedente | ||
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en:volatility [2017/08/25 15:55] playoptions |
en:volatility [2017/12/29 15:03] (versione attuale) playoptions |
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| ====Volatility Index==== | ====Volatility Index==== | ||
| - | ^Difference^V.I. Oscillator^ | + | **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|}}| | |{{:vol_ind_diff.png|}}|{{:vol_ind_osc.png|}}| | ||
| |{{ :implied_chart.png?nolink&600 |}}|{{ :implied_chart_2.png?nolink&600 |}}| | |{{ :implied_chart.png?nolink&600 |}}|{{ :implied_chart_2.png?nolink&600 |}}| | ||
| - | The Volatility Index which are in Iceberg is calculated with a proprietary algorithm that tends to absorb quickly the outliers, the spike in implied volatility on all or portions of options that make the measurement.\\ | ||
| - | \\ | ||
| - | This calculated is necessarily different from the volatility indexes that are quoted on the market or calculated by other software.\\ | ||
| - | We wanted to move forward and, beyond the final issue, what we were interested in was having a set of calculations that would allow us more efficient evaluations.\\ | ||
| - | \\ | ||
| - | We extended to all traded instruments and you can find it on the stocks, currencies, and futures on bonds. | ||
| - | \\ | ||
| ===Difference=== | ===Difference=== | ||
| Linea 96: | Linea 101: | ||
| ---- | ---- | ||
| - | ===V.I. Oscillator=== | + | ===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 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.\\ | ||
en/volatility.1503669330.txt.gz · Ultima modifica: 2017/08/25 15:55 da playoptions
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