lukestein’s avatarlukestein’s Twitter Archive—№ 6,260

  1. A finance thing, easy to understand and powerful: With VIX at 33 today, markets forecasting (𝘷𝘦𝘳𝘺 approx) daily returns w std dev ≈2%. If you accept a bunch of assumptions that are wrong but maybe not too wrong, you might expect to see one ±4% day (ie 2𝜎) in March. @lukestein/1053021398963298306
    On twitter.com Twitter logo lukestein’s avatar ♻️ 7 Retweets ❤️ 14 Favorites Mood 0
    1. …in reply to @lukestein
      If you want to know more about the requisite assumptions and why they’re wrong, you could do worse than just reading a bunch of @bennpeifert’s old tweets.
      Permalink On twitter.com Twitter logo lukestein’s avatar ♻️ 3 Retweets ❤️ 3 Favorites Mood -4 🙁
      1. …in reply to @lukestein
        Flaws incl eg 1 VIX isn’t actually a vol forecast, it’s the cost of a bundle of options whose value is also be driven by other things (cf volatility risk premium) 2 Returns aren’t lognormal (cf eg smirk, smile) 3 Vol not constant over 30-day horizon (cf cboe.com/trading-tools/strategy-planning-tools/term-structure-data )
        Permalink On twitter.com Twitter logo lukestein’s avatar ♻️ 3 Retweets ❤️ 2 Favorites Mood -2 🙁
        1. …in reply to @lukestein
          Incidentally, Russia 3/2/22 VIX ≈ COVID 3/2/20 VIX (cc: @LukePast)
          oh my god twitter doesn’t include alt text from images in their API
          Permalink On twitter.com Twitter logo lukestein’s avatar ♻️ 1 Retweets Mood 0