...亏损的原因,主要有下列 三项: z IV>HV 不等于 IV>RV: LTCM 沽空期权的动机是认为隐含波动率( Implied Volatilities, IV)被“高估”。既然说“高估”,就是有一个比较的基准。
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This paper investigates whether realized and implied volatilities of individual stocks can predict the cross-sectional variation in expected returns.
本文探讨是否实现隐含波动率与预期回报的个股可以预测的横截面的变化。
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We noticed equity implied volatilities did not experience the pop that index implied volatilities experienced last week.
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Large-cap stocks that have been around a long time tend to move less than small-cap stocks, and therefore tend to have lower implied volatilities.
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He can access a world of information from four flat-panel screens, tracking stock and options prices, spreadsheets on implied volatilities, newsfeeds from Reuters, Bloomberg, Bridge and more.
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