Comment on Greek Interactions

Nachiketa commented on 09 Dec 2017, 10:31 AM

Hi Karthik,

Once again thanks for sharing all these. I have done the Volatility Cone calculations myself, and as many others mentioned in earlier comments, I think there is some problem in the Volatility Cone excel sheet shared by you (as well as in the example used). I have done all the calculation in a Google spreadsheet with real-time data grabbed from Google finance (https://goo.gl/wUsgBd). Anybody can use this to get Volatility Cone for current date without requiring to do any change (also for any previous date by changing start date).

Anyway, as per my calculation, the mean line in Volatility Cone for the period used by you guys (Jan 11 – Feb 12) lies around 22-24. This matches with India VIX data for that period. However, in the shared excel sheet, this lies around 30 which is around the maximum India VIX level in that period. You do not need to go through either of these calculations to verify what I’m saying, but do you think the way I’m thinking is correct, i.e. mean volatility in Volatility Cone should be around the same level as India VIX average for the same period?

Moving on to my second question, in my calculation as well as in your examples, the MIN line in volatility cone is always greater than -2SD line (this is not the case with MAX and +2SD). Does this indicate anything? I was thinking may be this is a proof of what you mentioned in several chapters – “fear spreads faster than greed”. So, Nifty volatility always shoots up more from the average, than it goes down.

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