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by Somberlaine
December 20th, 2012, 11:36 am
Forum: General Forum
Topic: Will Co-Integration Match Volatility?
Replies: 3
Views: 9897

Will Co-Integration Match Volatility?

Thanks for that suggestion, I'll certainly look in to it. Why would I want to look at ATM-constant implied vol instead of ATM-non-constant implied vol?Why is it important that they are ATM?Thanks,
by Somberlaine
December 17th, 2012, 8:18 am
Forum: General Forum
Topic: Will Co-Integration Match Volatility?
Replies: 3
Views: 9897

Will Co-Integration Match Volatility?

<t>Here is a scenario:You have an equity underlier (lets call it X) which you are trading based on a volatility surface. You also have a list of other equity underliers with their own, unique, vol surfaces. Your task is search through that list of other underliers to find the vol surface which is th...