Hello Everyone,
I used HY estimator to calculate the correlation between a liquid index and its ATM call option for a day at a tick level using HY estimator.
I got a correlation of about 10%.
I was wondering if anyone else has done something similar and if they get similar numbers for correlation or is there something wrong with my understanding / code.
PS: I am using python. I couldnt find a library which implements HY and thus ended up coding it.
Best