Ok, I want to place a position this week. Right now I might need to wait for a few days as I won't be able to dive in right away Tomorrow AM. I've studied a possible trade scenario though, so if the opportunity develops (i.e. time and quiet market) I might get started Tomorrow. Otherwise, it would be nice to enter in a strong down-day to take advantage of a volatility pop, this is a nice to have but not required... Required at this point is placing the position and managing it in order to bring profits in JUL :)
2 comments:
On the ^OEX 5-day price spike chart, do you mean 30 days or 60 days?
Are you calculating the 1-day standard deviation? What formula do you use?
StockMark*StockVolatility*SQRT(1/365)?
Thanks.
Duane
Good catch, it is actually 60 days for all charts..
I used whatever formula was published on the book "The Volatility Edge in Options Trading" by Jeff Augen. Sorry I can't reach my computer right now, but the formula is pretty standard I guess.
One kaviat! I did use the number of trading sessions instead of total calendar days for the year, this is what Jeff suggests in his book if my memory serves me right :)
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