Comment on Greek Interactions

Vijay commented on 18 Nov 2015, 05:14 PM

I have already followed your calculation and the corresponding excel sheet used by you. What I am reporting here is,
for example, the calculation for volatility cone, for 10 days windows, annualized realized volatility seems to be incorrect, eg. you reported 26% for Dec. 2014 in the table, but the correct number is 18%. Could you please provide excel sheet that you used for your realized and annualized volatility calculation for 10 day window size. Thanks for your good work.

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