Comment on Greek Interactions

PROMIT BANERJEE commented on 05 Feb 2017, 11:33 AM

Thanks Kartik for your reply.
In the Volatility Cone excel, frank I could not decipher anything from the sheet.
But I went for a much much longer process.
With the expiration dates for the last 15 months(Is it necessary to take 15 months .??), I calculated the Annualized Volatility 10,20,30,45,60,90 days from the expiry separately for each 15 months.
Very long and tedious, but kind of the concept is same. ( Correct.. ??)
After that with that data one can construct the Cone.
But please it would be of much help if one can give the details of the Calculations in the Zerodha VC excel.
One user gave it, but still it is not making any sense to me.

Thanks and Regards.
Promit Banerjee

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