Comment on Greek Interactions

kiranintouch commented on 29 Oct 2017, 11:17 PM

Thank You Karthik.

Googled about realized volatility and found http://www.realvol.com/VolFormula.htm which explains why mean ( “J4” ) is zero as follows. Request to review and confirm.
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Mean Set to Zero
The RealVol Daily Formula starts with the traditional formula for standard deviation and modifies it in a few key ways. First, we set the mean to zero in order to provide “movement regardless of direction” instead of “movement about a mean or trend.” Doing so makes hedging easier for options traders and corresponds to the formula used for variance swaps and volatility swaps in the over-the-counter market.
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