@thfiv I normally don't use 40, I use 20. I was showing how the short term realized volatility was low but when we take the holiday effect out it was about 5 points higher.
A 20-day hisotircal volatility is the proper comparison for a 30-day implied volatility, because the HV uses trading days and IV uses calendar days-- so they are both on the correct timeframe.
I'll go ahead and plug my book "Timing Volatility" which explains this-- you can get it on Amazon.com
VIX is calculated on calendar days. Why are you using 40 for 2 months?
thfiv 2 months ago
@thfiv I normally don't use 40, I use 20. I was showing how the short term realized volatility was low but when we take the holiday effect out it was about 5 points higher.
A 20-day hisotircal volatility is the proper comparison for a 30-day implied volatility, because the HV uses trading days and IV uses calendar days-- so they are both on the correct timeframe.
I'll go ahead and plug my book "Timing Volatility" which explains this-- you can get it on Amazon.com
investingwithoptions 2 months ago