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barksdalemc
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Joined: August 16th, 2013, 10:36 am

Volatility Analysis of Historical Data

August 19th, 2013, 4:56 pm

Outside of realized vol and historical realized skew analysis, can anyone recommend some cool studies to perform on price and implied vol data? I am trying to do this for Energy products. Thanks.
 
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farmer
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Joined: December 16th, 2002, 7:09 am

Volatility Analysis of Historical Data

August 19th, 2013, 5:07 pm

I think the main problem is not the known unknown, but the unknown unknown. The creature who has no cousins, and has never so much as revealed his scent in any past historical period. So it might be interesting to look at implied vol that is not justified by any historical vol. And at the correlation with other products or delivery months or delivery points or whatever.Is the unknown stranger expected to show up across months and delivery points at once? Or does each month and delivery point have his own ghost of legend that has never been observed, or is there some mix? What is the correlation of tail risk across products, and can you hedge puts in one product with puts in another product?
 
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Alan
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Volatility Analysis of Historical Data

August 19th, 2013, 5:53 pm

QuoteOriginally posted by: barksdalemcOutside of realized vol and historical realized skew analysis, can anyone recommend some cool studies to perform on price and implied vol data? I am trying to do this for Energy products. Thanks.For each underlying with options, construct your own VIX series, using the CBOE method in the `VIX white paper'
 
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Stale
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Joined: November 7th, 2006, 3:20 pm

Volatility Analysis of Historical Data

August 20th, 2013, 10:03 pm

Hey,Which energy product are you looking at?? S
 
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barksdalemc
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Joined: August 16th, 2013, 10:36 am

Volatility Analysis of Historical Data

August 21st, 2013, 3:18 pm

Crude, Natural Gas, and Power. The latter two exhibit seasonality so I would compare like to like (i.e. all Jan contracts historical price to all Jan contracts).
 
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StraTeg0s
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Joined: July 17th, 2013, 7:05 am

Volatility Analysis of Historical Data

September 2nd, 2013, 4:34 am

Crude and NatGas vol surfaces should be more homogenic underlyings than power. power isn't storable per se, so you should see different types of price seasonality (probably on much shorter time periods). also, they're inherently local markets.think the suggestion to build your own VIX index is good, that will allow you to build a floating term structure from fixed maturities. I'm not enough of a quant to know whether the interpolation methodology works for the entire smile, or just ATM fwd vol. in any case, you then can generate a time series of levels, spreads etc and apply the usual statistical toolkit.
 
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secret2
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Joined: July 28th, 2010, 10:29 pm

Volatility Analysis of Historical Data

September 11th, 2013, 1:54 pm

QuoteOriginally posted by: AlanQuoteOriginally posted by: barksdalemcOutside of realized vol and historical realized skew analysis, can anyone recommend some cool studies to perform on price and implied vol data? I am trying to do this for Energy products. Thanks.For each underlying with options, construct your own VIX series, using the CBOE method in the `VIX white paper'And possibly also the SKEW series, also following the CBOE methodology
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