Historical vs Implied Volatility with 10yrs Options Data скачать в хорошем качестве

Historical vs Implied Volatility with 10yrs Options Data

In today's tutorial we investigate how you can use ThetaData's API to retreive 10 years of historical options data on Microsoft (MSFT) for comparing Implied Volatility to Historical Volatility. We also describe what the difference between historical volatility and implied volatility actually is. Realized volatility (rv) is the actual stock price variability due to randomness of the underlying Brownian motion or Wiener Process of the stock price. While the Implied volatility (iv) is how the market is pricing the option currently. To calculate implied volatility you use the market price of the option (as well as the contract terms) and a theoretical pricing model depending on the type of option being priced. But what is the difference? Since the market does not have perfect knowledge about the future these two numbers can and will be different. Therein, lies the risk management problem, or perhaps the business or trading opportunity? Online written tutorial: https://quantpy.com.au/implied-volati... ★ ★ Code Available on GitHub ★ ★ GitHub: https://github.com/TheQuantPy Specific Tutorial Link: https://github.com/TheQuantPy/youtube... ★ A data driven path to getting a job in Quant Finance https://www.quantpykit.com/ ★ QuantPy GitHub Collection of resources used on QuantPy YouTube channel. https://github.com/thequantpy Disclaimer: All ideas, opinions, recommendations and/or forecasts, expressed or implied in this content, are for informational and educational purposes only and should not be construed as financial product advice or an inducement or instruction to invest, trade, and/or speculate in the markets. Any action or refraining from action; investments, trades, and/or speculations made in light of the ideas, opinions, and/or forecasts, expressed or implied in this content, are committed at your own risk an consequence, financial or otherwise.