How to calculate volatility based on the expected return of a straddle strategy has been shown in part 1 of fair bet volatility KVOL. Using and Displaying K-Volatility: KVOL uses the given amount of historic returns to calculate an expected value … Continue reading
A new indicator to detect excess market moves. It overcomes the limitations of RSI and Bollinger Bands. See description, algorithm and source code. Continue reading
Is it more favourable to buy shares directly or to get assigned from a short put position. See the arguments and learn how to decide this question. Continue reading
Will the market stay within it’s normal distribution range or will there be a breakout of this range? The Bollinger percentile indicator will give the answer. Continue reading
Use free data from the web and load it into Tradesignal to scan for implied volatility and IV percentile. Full code given for free Continue reading
Comparing implied volatility to realized volatility can show you the right stocks to sell volatility. An overview over the implied and long term realized volatility of NADAQ100 stocks is given. Continue reading
Backtesting if historical volatility or Kahler’s volatility gives a better prognosis for future volatility. Calculating the average prediction error of these two volatility indicators. Testing for the influence of data points used on the quality of the prediction. Comparing the findings to implied volatility to generate a trade idea. Continue reading
Seasonal Projection and Volatility prognosis for german DAX. Trouble ahead… Continue reading
Volatility is a measure of risk. It describes how far a commodity will most probably move within a given period of time. The most common measure for volatility is historical volatility. But I do not like the complicated formula for … Continue reading