Volatility Cones

Previously I posted some code on a raw volatility cone based on close-close basis. One of the draw backs of this approach is correlation on overlapping windows. Hodges & Tompkins (2002) formulated an adjustment for this bias and I have updated the code.

MSFT Vol Cone

MSFT Vol Cone

This work is based on the great book “Volatility Trading” by Euan Sinclair. Definetly recommended for those looking for a quantitative approach to volatility not readily available in most options books. Included is a little CD with formulas that can help the resourceful decipher some of the mathematics.


~ by largecaptrader on June 30, 2009.

3 Responses to “Volatility Cones”

  1. I read Euan’s Book as well and I think it’s the best in the field. I am using vol cones too even if I am not using MatLab to construct them but a simple excel spreadsheet. well done!

  2. […] most options books. largecaptrader.wordpress.com This entry was posted in all. Bookmark the permalink. ← Image […]

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