https://gdpark.blog/tags/volatility/Recent content in Volatility on gdpark.blogHugoenWed, 14 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-06-binomial-model-generalized-n-period/Mon, 03 Oct 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-06-binomial-model-generalized-n-period/We tackle the scary-looking generalized n-period binomial formula and break it down piece by piece — p, u, d, sigma notation and all.https://gdpark.blog/posts/basic-investing-09-capital-allocation-line-cal/Tue, 05 Apr 2016 00:00:00 +0000https://gdpark.blog/posts/basic-investing-09-capital-allocation-line-cal/How slicing your cash between the spicy risky stuff and the boring risk-free stuff moves your expected return and volatility — that’s the Capital Allocation Line.https://gdpark.blog/posts/financial-engineering-10-black-scholes-formula/Thu, 20 Oct 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-10-black-scholes-formula/Can’t derive Black-Scholes to save my life, but coding up the call and put pricing formula in VBA? That part’s actually not hard at all.https://gdpark.blog/posts/derivatives-11-properties-of-stock-options/Mon, 28 Nov 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-11-properties-of-stock-options/Breaking down every variable that moves option prices — S, K, T, σ, r, and D — and why European vs. American options handle time to expiration differently.https://gdpark.blog/posts/financial-engineering-11-volatility/Thu, 20 Oct 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-11-volatility/Breaking down historical and implied volatility — what they are, why we care, and how to actually compute historical vol from weekly price data in VBA.https://gdpark.blog/posts/financial-engineering-13-implied-volatility/Fri, 09 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-13-implied-volatility/Flip the BS formula backwards — plug in the real market price, leave σ blank, and whatever volatility makes it work? That’s implied volatility, baby.https://gdpark.blog/posts/derivatives-14-options-trading-strategies-part-2-combinations-and-practice/Wed, 14 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-14-options-trading-strategies-part-2-combinations-and-practice/Wrapping up options combinations — straddles, strangles, strips, and straps — and figuring out which one to pick depending on your vol view and your wallet.