Implied Volatility

Volatility ratio Calculation for Options?

Question by pps p: Volatility ratio Calculation for Options?
The 20 day Volatility Ratio is calculated as 1 Day Implied Volatility divided by 20 Day Statistical Volatility.

The 90 day Volatility Ratio is calculated as 1 Day Implied Volatility divided by 90 Day Statistical Volatility.

Question: We have a Volatlity chart for 3 month ,6 month and 1 year datas only.

Where can i get 1 day Implied Volatility data?
Where can i get 20 day statistcal volatlity data?

I think, we can can get the value of 90 day (3 month) Statstcal volatility since we have volatility view chart for 3 months.

Can someone please help me in how to find out those values (1 day Implied Volatility & 20 day Statistical Volatlity)?

Thank you.

Best answer:

Answer by zman492
<<>>

Simply use the current implied volatility.

<<>>

The easiest way to get it is simply to calculate it. Start by getting the historical prices for the time period you want. You can do this several places, including Yahoo Finance. For example, if I wanted 20 days of historical quotes for INTC I would start at the Yahoo quotes page

http://finance.yahoo.com/q?s=INTC

then click on the “Historical Prices” link to get the page at

http://finance.yahoo.com/q/hp?s=INTC

I would then set the date range I wanted and click on the “Get Prices” button. On the page I got back I would go to the bottom of the page and click on the “Download To Spreadsheet” button to put the data into an Excel spreadsheet.

I would then calculate the standard deviation of the closing prices using the STDEV function. (If you are not familiar with the STDEV function see

http://www.gifted.uconn.edu/siegle/research/Normal/stdexcel.htm )

I would then annualize the standard deviation by multiplying it by the square root of (365 / N) where N is the number of calendar days worth of data I used.

Finally I would convert the annualized standard deviation into the statistical volatility by multiplying it by 100 and dividing it by the price of the stock.

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Help With Volatility Smiles?

Question by lilmissbrittbrit: Help With Volatility Smiles?
Why do you use implied volatility when dealing with volatility smiles?

Best answer:

Answer by zman492
Volatility smiles are based on the lognormal distribution of prices at some time in the future. That distribution is determined by the amount people are willing to bid/ask for options contracts. Using the Black-Scholes model, bid/ask prices determine the implied volatility (the annualized standard deviation, expressed as a percentage of the stock price) of the distribution. When people are willing to “overpay” for options with strike prices far from the current price (of the underlying) that creates “fat tails” to the distribution, also known as volatility smiles.

You do not use historical volatility, also known as statistical volatility, because you are dealing with prices that have not occurred yet and consequently cannot be measured directly.

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Episode 3 – The Three Dimensions of Vertical Spreads

In this episode we discuss volatility; comparing historical and implied. We look deeper into implied volatility and derive that it is function of traders bidding up and down the call and put options; non-optional stocks do not have an implied volatility. We touch on the subject of probability theory and with that knowledge we delve into what a standard deviation measurement is and on what time frame. We use all of this background to form a basis for placing our vertical spreads. Finally, we’ll wet your whistle for our next episode by showing you a vertical spread that we intentionally placed within our standard deviations.
Video Rating: 5 / 5

In Part 3 of this 4-part series, we discuss the impact of volatility on option prices and option vega.

Q&A: How do you calculate option implied volatilities..?

Question by rawwwrrr: How do you calculate option implied volatilities..?
thanks :\

Best answer:

Answer by SIG
Hi Rawwrrr…

Implied volatilities (IV) mean how far the Options price could swing between the two boundary extreme. This means to implied volatilities are coming from the price actions themselves. The bigger the IV the wider an options price will fluctuate.

Some people think that when they decide to buying options, they have to ensure a certain number of IV in order to guarantee that they choose profitable options. But in my opinion, this is still an inadequate background to make investment decision on Options.

As my experiences in derivatives, such as forex, futures and commodity, our primary target is the underlying itself. So, if you think of making a winnable optionable stock, then you have to think about the stock itself: Where it will go, say, for the next 1-2 month??…

Best of the best, don’t plunge your self in endless mathematical/statistical approaches…remember, we are investors…and we are focusing on the underlyings…

Hope this will help you…

SIG
http://foropt.webs.com/ (my trial website)

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ORATS Dashboard to find Fair Volatility at Earnings

Here we use the ORATS Dashboard to analyze a fair volatility around earnings. Value the earnings month volatility based upon a normalized volatility and estimating a percentage move in the stock at earnings. Compare this fair vol calculation to what is implied in the market:

questoptions.com Historical and Implied Volatility are quoted on an annual basis. In this video you will learn how to convert annualized volatility to daily volatility.

TooNiceStocks.com Initiates Independent Research on American Petro-Hunter Inc.

TooNiceStocks.com Initiates Independent Research on American Petro-Hunter Inc.

“Finding Value in the Undervalued” – www.TooNiceStocks.com

New York, NY (PRWEB) February 26, 2010

TooNiceStocks.com initiates independent research on American Petro-Hunter Inc. – bullish outbreak.

Bullish Outbreak:

A person looking from a technical analysis perspective sees the bulls running wild as the MACD for American Petro-Hunter Inc. is above the signal line, a 9-day moving average. In addition, the MACD is above 0 which implies that the underlying moving averages are trending higher, thus indicating a strong bullish signal. The bullish signals are also supported by the OBV, which shows that the slope of the indicator is positive and indicates there is considerable buying interest. Finally looking at the Price Channel, American Petro-Hunter Inc. is currently at a stable state as shown by the width of its PC. This width is extremely tight and shows low volatility.

Due Diligence:

American Petro-Hunter Inc. has successfully drilled and started production with initial production reaching 240 BPD equivalent of 44º oil at the Rooney Project. They plan to drill 10 additional wells at the Rooney Project, to which the first drill is presently with results. These results are expected to be reported within the near future.
The Company’s Position Project is in-production as of July 2009 and the company plans to increase its production from 100 to 400 BPD over the next six months with 2-3 new wells.
American Petro-Hunter’s experienced management team, underdeveloped and unexploited reserves, cutting edge well technology, knowledgeable and capable engineers provide the Company with a team that has the “get the job done” attitude.
Their projects all gain from existing pipeline, transportation and infrastructure
The price of oil is expected to rise to $ 85, as predicted by institutional analysts from all over, so as the oil price rises it will have a direct impact on their bottom line.
Digging Deeper:

Three separate analyst reports has touted the potential and placed target of $ 3.00, $ 3.07 and $ 4.00 per share. To quote from the most recent analyst: “Key value drivers for the Company include: discovery of a new oil field, existing production, a balanced portfolio of assets, favorable industry economics, and a strong management team. Providing the Company raises approximately $ 4.0 million of capital, we forecast significant top line growth as global energy prices begin trading at attractive levels. Revenues are expected to grow from $ 0.2 million FYE December 31, 2010 to more than $ 48.2 million by FYE 2013. American Petro-Hunter Inc. is potentially a lucrative investment opportunity in the oil and gas E&P space.”

Their lead expert investment analyst, TOONICE states, “I believe the estimate is conservative for long term, given its relatively small share float and present low market capitalization. Compared or viewed against the low risk potential for realizing their revenue goals, this clearly represents an imminent growth investment for any investor.” TOONICE thinks the company is well positioned and continues his “BUY” rating based on technicals, future company developments, great management and sets a short term target of $ 1.75. To find all quoted statements and referenced news above, please visit http://www.americanpetrohunterinc.com.

“Finding Value in the Undervalued” – http://www.TooNiceStocks.com

Toonicestocks.com (”website”) has not been compensated, rather we have initiated our own independent research on American Petro-Hunter Inc. The website is not an investment advisory service, nor a registered investment advisor or broker-dealer and does not purport to tell or suggest which securities customers should buy or sell for themselves. You understand and acknowledge that there is a very high degree of risk involved in trading securities. The website, the authors, the publisher, and all affiliates of website assume no responsibility or liability for your trading and investment results. Factual statements on the website, or in its publications, are made as of the date stated and are subject to change without notice. It should not be assumed that the methods, techniques, or indicators presented in these products will be profitable or that they will not result in losses. Examples presented on Toonicestock.com’s website are for educational purposes only. Such set-ups are not solicitations of any order to buy or sell. Accordingly, you should not rely solely on the Information in making any investment. Rather, you should use the Information only as a starting point for doing additional independent research in order to allow you to form your own opinion regarding investments. You should always check with your licensed financial adviser and tax adviser to determine the suitability of any investment. Please view full disclaimer at the website.

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PerTrac Teams with FinAnalytica to Offer RiskPlus: New Product Delivers Returns-Based Risk Reports for Hedge Fund Portfolios

PerTrac Teams with FinAnalytica to Offer RiskPlus: New Product Delivers Returns-Based Risk Reports for Hedge Fund Portfolios

New York, NY (PRWEB) April 14, 2010

PerTrac Financial Solutions (http://www.pertrac.com), the leading provider of analytic and workflow solutions, announced the release today of PerTrac RiskPlus, a new returns-based risk analysis solution. The new product is a collaboration with FinAnalytica the leading provider of real world portfolio risk solutions for multi-manager funds, hedge funds and asset management firms.

“PerTrac RiskPlus is a breakthrough for hedge fund investors seeking more sophisticated risk monitoring for their portfolios,” said Gerry Mintz, PerTrac President and Chief Executive Officer. “Using state-of-the-art statistics based on fat-tailed distributions, dynamic correlations and multi-factor models, PerTrac RiskPlus sheds light on opaque portfolios at a price far less than more traditional or position-based risk systems. It offers large and small investors tools previously available only with the purchase of a software platform costing almost ten times as much.”

PerTrac RiskPlus examines portfolio risk based on the monthly returns of each fund in the portfolio rather than each fund’s holdings, information which is either unavailable or impractical to acquire from hedge fund managers on a timely basis, and is expensive to analyze. RiskPlus is a powerful solution for essentially any hedge fund strategy, providing investors an insightful view of the risks to which they may be exposed.

“Our work with PerTrac will bring advanced risk analysis to a wider market,” said Dave Merrill, CEO of FinAnalytica. “RiskPlus puts our sophisticated, academically proven fat-tailed risk modeling into a scalable, easy-to-use tool that provides practical and actionable risk assessment.”

“We’re excited to work with FinAnalytica on this product,” noted Mintz. “The reports generated by PerTrac RiskPlus arm investors with information helpful in their due diligence and ongoing monitoring. They provide critical information that supports investment decisions including which managers may deserve greater allocations, which ones are problematic, and the questions you should ask managers, as well as how your portfolio can be expected to perform in market downturns.”

Highlights of PerTrac RiskPlus include:

    Fat-tailed risk statistics (as opposed to traditional risk statistics which assume a normal distribution) that show which funds contribute most to portfolio risk and which are the best risk diversifiers. Unlike traditional risk statistics that focus on general volatility, advanced statistics such as fat-tailed VaR, fat-tailed ETL, STARR, and Rachev Ratio separate downside risk from upside potential.
    Risk budgeting that compares the “implied” returns that funds should be earning based on their tail risk profile versus their actual returns. See which funds are underperformers relative to their risk level and which funds may deserve increased allocations.
    Factor contribution analysis which reveals how much various market factors (e.g. Asian convertibles, British pound sterling, U.S. large & mid caps, etc.) account for portfolio risk and how much risk is specific to the underlying funds.
    A Copula function that considers dynamically changing correlations among funds, e.g. weaker correlations in up months and strong correlations in down months, known as tail-dependence.
    Stress tests that show how a portfolio and its underlying managers could be expected to perform in 11 different historical market stress scenarios, including Black Monday, the Asian Crisis, the World Trade Center Attack, and the Crash of 2008.
    Sensitivity stress test exposures to seven different risk categories including equities, bonds, ABS/MBS, commodities and FX.
    Each fund’s beta and p-value relative to 23 different market factors, providing insight into the true underlying portfolio exposures.
    Comparison of classical monthly correlation values between funds versus robust correlation values that de-emphasize outliers to help understand their impact on the relationship between the funds.
    Generates risk reports from return streams and portfolio weightings already stored in PerTrac Analytical Platform.
    Pricing based on usage, so smaller investors who require less frequent reports find the product highly affordable, while larger investors with more managers or bigger reporting demands can scale up as required.

PerTrac RiskPlus is an optional module integrated into the latest version of the PerTrac Analytical Platform application, the world’s leading investment analysis and asset allocation software. PerTrac RiskPlus is aimed at funds of funds, pension funds, sovereign wealth funds, endowments, foundations, family offices, and other hedge fund investors searching for a cost-effective solution for sophisticated portfolio risk monitoring and management. To learn more about PerTrac RiskPlus or the PerTrac Analytical Platform, please visit http://www.pertrac.com or contact the company at sales@pertrac.com.

About PerTrac

PerTrac Financial Solutions was founded in 1996 with the goal of creating a suite of analytic and workflow solutions to help investment professionals make better decisions, improve productivity, reduce risk, and improve communication. Now an industry standard, PerTrac software is used by nearly 2,000 clients in 50 countries, including banks, brokerage firms, consultants, plan sponsors, family offices, investment managers and funds of funds. The company’s flagship product, the PerTrac Analytical Platform, is now the world’s leading asset allocation and investment analysis software, used by approximately 1,700 firms worldwide. PerTrac CMS, which was part of its January 2006 acquisition of Whittaker Garnier, is another major component of the PerTrac Suite. PerTrac CMS is the investment industry’s leading tool for managing the client relationships and workflows associated with capital raising, investor relations, and investment management, and is used by nearly 300 alternative investment firms around the world. In January 2008, PerTrac announced the release of PerTrac Portfolio Manager, a unique software application designed to help funds of funds and institutional investors create, monitor and manage multi-manager portfolios of alternative investments. PerTrac P-Card, released in November 2008, is a revolutionary new investment data distribution and collection platform, which gives managers and investors the tools they need to share sensitive information directly, electronically and securely. PerTrac Financial Solutions is headquartered in New York with offices in London, Hong Kong, Tokyo, Reno, and Memphis. For additional information on the full suite of PerTrac products, please visit http://www.pertrac.com    

About FinAnalytica

FinAnalytica is a leading provider of real world portfolio and risk management solutions for quantitative analysts and portfolio managers. FinAnalytica’s Cognity software suite incorporates the latest and most transparent advances in analytics, including comprehensive treatment of real world fat-tailed and skewed asset returns. With offices in New York, London and Sofia, FinAnalytica supports leading fund of funds, hedge funds, endowments, pension funds and asset management firms globally. For further information, please visit http://www.finanalytica.com.

PerTrac Press Contacts:

Meredith Jones

Managing Director, PerTrac

+1-615-297-4500

mjones(at)pertrac(dot)com

Meg Bode

Bode & Associates, Inc.

+1-516-869-6610

meg(at)bodeassociates(dot)com

FinAnalytica Press Contacts:

Adam Honeysett-Watts

Cognito Europe

+44 (0)20 7438 1100

Ishviene Arora

Cognito US

+1-646-395-6300

FinAnalytica(at)cognitomedia(dot)com

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Vocus, PRWeb, and Publicity Wire are trademarks or registered trademarks of Vocus, Inc. or Vocus PRW Holdings, LLC.

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where can I find free todays information regarding US market cap implied volatilities?

Question by Som: where can I find free todays information regarding US market cap implied volatilities?

Best answer:

Answer by baraaa
maybe u should reword your question, as i have no clue what ure asking. be as specific as u can.

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What does a zero volatility imply about the value of currency options?

Question by Elke M: What does a zero volatility imply about the value of currency options?

Best answer:

Answer by 60187guy
?…..The options should trade at close to intrinsic value. Zero volatility implies a stagnant market.

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Volatility and Implied volatility (Options Trading)?

Question by omgomgstoplookingatme: Volatility and Implied volatility (Options Trading)?
What’s the difference?

Best answer:

Answer by zman492
Implied volatility is the amount of volatility that an underlying security would have to experience before the expiration of an option for that option to be fairly priced according to a statistical model.

Historical volatility, also known as statistical volatility, is the actual amount of volatility the underlying security has experienced for a recent past time period.

Volatility is the amount the price of the underlying security changes, usually measured as the difference between daily closing prices for the security.

Sometimes you need to take care interpretting what a writer means when he uses the word “volatility” in a sentence. He may mean historical volatility or implied volatility depending on the context of the sentence.

In the options world, all the these volatilities are normally expressed as a percentage of the price of the underlying security and are annualized.

The volatility percentage mulitplied by the underlying price (or the forward stock price if the underlying is a stock) gives you the value of one standard deviation, sometimes called sigma.

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