{"id":1568791,"date":"2013-09-18T18:27:31","date_gmt":"2013-09-18T12:57:31","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=1568791"},"modified":"2013-09-18T18:27:31","modified_gmt":"2013-09-18T12:57:31","slug":"usdinr-implied-vol-vs-realized-vol","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2013\/09\/18\/usdinr-implied-vol-vs-realized-vol\/","title":{"rendered":"USDINR Implied Vol vs. Realized Vol"},"content":{"rendered":"<p>Does implied volatility contain incremental information about future volatility? At least according to this <a href=\"http:\/\/www.econstor.eu\/bitstream\/10419\/67768\/1\/582956439.pdf\" target=\"_blank\">paper<\/a>, it does.<\/p>\n<p>Here&#8217;s a chart that plots USDINR option implied volatility (nearest <a class=\"zem_slink\" title=\"Moneyness\" href=\"http:\/\/en.wikipedia.org\/wiki\/Moneyness\" rel=\"wikipedia\">at the money<\/a>) vs. futures (nearest expiry). It does appear that IV leads realized vol, but it would be interesting to see if there&#8217;s any trading edge here&#8230;<\/p>\n<p><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1568841\" alt=\"USDINR Option Implied Vol and Futures Realized Vol\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2013\/09\/USDINR-Option-Implied-Vol-and-Futures-Realized-Vol.png\" width=\"1234\" height=\"478\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2013\/09\/USDINR-Option-Implied-Vol-and-Futures-Realized-Vol.png 1234w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2013\/09\/USDINR-Option-Implied-Vol-and-Futures-Realized-Vol-300x116.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2013\/09\/USDINR-Option-Implied-Vol-and-Futures-Realized-Vol-1024x396.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2013\/09\/USDINR-Option-Implied-Vol-and-Futures-Realized-Vol-500x193.png 500w\" sizes=\"auto, (max-width: 1234px) 100vw, 1234px\" \/><\/p>\n<h6 class=\"zemanta-related-title\" style=\"font-size: 1em\">Related articles<\/h6>\n<ul class=\"zemanta-article-ul zemanta-article-ul-image\" style=\"margin: 0;padding: 0;overflow: hidden\">\n<li class=\"zemanta-article-ul-li-image zemanta-article-ul-li\" style=\"padding: 0;background: none;float: left;vertical-align: top;text-align: left;width: 84px;font-size: 11px;margin: 2px 10px 10px 2px\"><a style=\"padding: 2px;text-decoration: none\" href=\"http:\/\/stockviz.biz\/index.php\/2013\/09\/17\/usdinr-time-to-sell-volatility\/\" target=\"_blank\"><img decoding=\"async\" style=\"padding: 0;margin: 0;border: 0;width: 80px\" alt=\"\" src=\"http:\/\/i.zemanta.com\/202919355_80_80.jpg\" \/><\/a><a style=\"overflow: hidden;text-decoration: none;line-height: 12pt;height: 80px;padding: 5px 2px 0 2px\" href=\"http:\/\/stockviz.biz\/index.php\/2013\/09\/17\/usdinr-time-to-sell-volatility\/\" target=\"_blank\">USDINR &#8211; Time to sell Volatility?<\/a><\/li>\n<li class=\"zemanta-article-ul-li-image zemanta-article-ul-li\" style=\"padding: 0;background: none;float: left;vertical-align: top;text-align: left;width: 84px;font-size: 11px;margin: 2px 10px 10px 2px\"><a style=\"padding: 2px;text-decoration: none\" href=\"http:\/\/stockviz.biz\/index.php\/2013\/09\/16\/usdinr-charted\/\" target=\"_blank\"><img decoding=\"async\" style=\"padding: 0;margin: 0;border: 0;width: 80px\" alt=\"\" src=\"http:\/\/i.zemanta.com\/202444589_80_80.jpg\" \/><\/a><a style=\"overflow: hidden;text-decoration: none;line-height: 12pt;height: 80px;padding: 5px 2px 0 2px\" href=\"http:\/\/stockviz.biz\/index.php\/2013\/09\/16\/usdinr-charted\/\" target=\"_blank\">USDINR Charted<\/a><\/li>\n<\/ul>\n<div class=\"zemanta-pixie\" style=\"margin-top: 10px;height: 15px\"><img decoding=\"async\" class=\"zemanta-pixie-img\" style=\"border: none;float: right\" alt=\"\" src=\"http:\/\/img.zemanta.com\/pixy.gif?x-id=510e0ecd-957f-4fd1-adfc-311a1ab1464b\" \/><\/div>\n<p>[stockquote]ATULAUTO[\/stockquote] <\/p>\n","protected":false},"excerpt":{"rendered":"<p>Does implied volatility contain incremental information about future volatility? At least according to this paper, it does. Here&#8217;s a chart that plots USDINR option implied volatility (nearest at the money) vs. futures (nearest expiry). It does appear that IV leads realized vol, but it would be interesting to see if there&#8217;s any trading edge here&#8230; &hellip; <\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[9],"tags":[2721,1150],"class_list":["post-1568791","post","type-post","status-publish","format-standard","hentry","category-your-money","tag-usdinr","tag-volatility","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/1568791","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=1568791"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/1568791\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=1568791"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=1568791"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=1568791"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}