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Volatility cones


Is current volatility cheap or expensive ? Volatility cone is a method to answer that question.
Volatility cone represents a methode to determine if the current volatility is cheap or expensive.

Principle

A volatility cone based on historical volatility finds the highest and the lowest rolling historical volatilities for different periods.


Presentation



How to use it ?
If current implied volatility for a given period is lower than the lowest observed volatility, the option is probably underpriced.

Fees-en : 28,99 € TTC
(27,48 € HT)
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