tag:blogger.com,1999:blog-4049167043965640947.post1155866751510795512..comments2022-06-05T13:28:32.605-07:00Comments on Option Trading: 07/28 Daily SummaryGustavo's Tradeshttp://www.blogger.com/profile/10318651374855413975noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-4049167043965640947.post-30122800570453098992010-07-29T18:49:19.302-07:002010-07-29T18:49:19.302-07:00Hey Doodelzack,
First of all, I use the principle...Hey Doodelzack,<br /><br />First of all, I use the principle and formulas on Jeff Augen's book "The Volatility Edge in Options Trading". Thus I'm using a 20-day calculated volatility. Also, because the data I'm using is historical data, I've opted for using 254 number of days (trading days) instead of 365 (calendar days).<br /><br />So, with the st.deviation on hand, I forecast what 1 st. dev should be to the upside and down-side, if the day's high or low exceed either side (or both) I count that day as a day that moved beyond 1 st. dev from high to low..<br /><br />Now, it is only a matter of counting how many of those +1 st. dev days we had in the past 30 days.. The chart is then the running % day by day.<br /><br />Hope this helps and answers your question,<br /><br />GustavoGustavo's Tradeshttps://www.blogger.com/profile/10318651374855413975noreply@blogger.comtag:blogger.com,1999:blog-4049167043965640947.post-18129562532830404312010-07-29T04:25:14.851-07:002010-07-29T04:25:14.851-07:00Hi Gustavo,
Please could you say what the formula...Hi Gustavo,<br /><br />Please could you say what the formula is you use to calculate the % of days where price moves over 1 S.D. using high to low. <br />Is this the expected SD move for the day using price * IV *SQRT (1/365) then see what the range is for the day?? Hope you understand the question :-)<br />Cheers DoodelzackAnonymousnoreply@blogger.com