Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Can you demonstrate an example of the calculation? Without a math background, it's hard for me to visualize how to implement some of the steps, like #2
Well in order to do this I understand one would need historical data of options... The only source I've seen is CBOE but it is very pricy for a given set of years. https://datashop.cboe.com/
Even if you get past the data issue I am not sure on which platform you could backtest this data (for instance Ninja only has price and volume data...). I'd like to backtest it in a multi-instrument strategy which makes it even a bit harder. If anyone has input on this or has tried it before it would be very much appreciated.
There are VIXes for all the mega assets, such as Apple. Each strike has its own volatility, too.
While you are at it, you might want to explore the concept of future volatility, such as expressed by VIX futures.
You might want to get a subscription to LiveVol Core. It's not that expensive and offers probably all the functionality you need as for volatility. You can get it for free with certain brokers.