Constructing Volatility Indexes Without the Use of Options or Futures

[brunotata 10]

Hi there.

 

I'm currently trying to construct a volatility index sort of like the VIX or the VXTYN (the S&P volatility index or the ten yr US bond volatility index). However there are no readily available option or futures prices. Just wondering if this has been done before, and what methodology has been used.

 

Thanks all!:crap:

[Spikeygirl 10]

What exactly are you looking for ... besides the ITM, ATM, DITM values for each option within a certain time frame? If you are let's say looking at an option for Stock X and let's say that the option expires in 30 days then just use the standard Stock X chart on a 4 hour time frame from the day you entered until the time you wish to exit or at expiration. You can just insert a volatility indicator for the measurement on the chart sub-section. You can also look at the greeks and determine based on volatility what is happening ... AND at the same time have the Stock A's chart to review.

 

And if you are trying to trade a binary ... well you better make sure your charting platform and data feed allow you to use millisecond as opposed to tick or one minute ... and you have to make certain that [since it is a heads/tail coin toss game] that they do not take the full sum [100%] when you loose and only give you a portion [80%] when you loose ... because sooner or later your account will be depleted ... if not from the few losses but the commission costs for a round turn.

 

Hope this helps!

Spikeygirl