Implied Volatility in the Black-Scholes Formula

Cryptarbitrage’s Deribit Spreadsheets Calculation Tools

Perpetuals, Futures, and Options can present quite a steep learning curve, fear not though as we have an incredible collection of Google Sheets and Excel Spreadsheets to help both the basic as well as most advanced users! We can also strongly recommend reading our Educational and Market Research articles as many traders find them to be invaluable resources.

One of our talented Community Managers, Cryptarbitrage, has created and maintains to the best of his ability a series of tools to both help Deribit users learn more about BTC & ETH Perpetuals, Futures, and Options as well support more advanced traders increasing technical needs.
A short introduction by Cryptarbitrage:
"Although I was aware of options beforehand I only started properly researching them in early 2018 after I discovered the Bitcoin options on Deribit. I do not need much encouragement to build a spreadsheet for something so quickly set about created an Excel sheet that would show me the profit and loss of any options position I entered.
This was a great way to learn all the profit and loss formulas for each type of option as well as how different option combinations interacted with each other. As soon as this sheet was complete I was building positions I still didn’t even know the proper names for so was very much learning by doing. It was immediately obvious to me though that options were the type of instruments I wanted to trade.
After a few months and once I’d done some more reading and was more confident I actually knew what I was talking about I began creating shareable versions in google sheets and sharing them with the Deribit community."
Feel free to ask for some help or guidance in our English Telegram Community.
Cryptarbitrage’s Twitter: https://twitter.com/cryptarbitrage
Cryptarbitrage’s Telegram: u/Cryptarbitrage
English Telegram Community: https://t.me/deribit

Deribit's Position Builder
Link: pb.deribit.com
It is invaluable to be able to see the potential profit/loss, implied volatility of a single or multiple positions quickly, and adhoc. This allows you to check the results of either simulated positions, the live positions of your account, or a combination of these all across multiple instruments including Perpetuals, Futures, and Options at the same time.
The Position Builder can be used to analyze the results of either existing or simulated results. As it uses market data from Deribit it provides a quick tool to check the results before adding positions into a portfolio.
Development Credit to the core Deribit development team

Scenario Risk Analysis “Maximum Pain” - Excel Spreadsheet
Link: https://drive.google.com/file/d/1ANS1CgApJCDTX5ZjUwO_fegU7Z-QVSdt/view
A resource to visualize the Open Interest at the present moment as well as the current price of maximum pain for option buyers.

Basic Resource Tools

Simple Perpetual/Future Position Size Calculator - Google Sheet
Google Sheet Link: https://docs.google.com/spreadsheets/d/1gQh11IJgb4HOt8B-HDWG_HX9hta1832piynuI4k-v-A/edit?usp=sharing
This spreadsheet allows you, in both BTC, ETH, and USD, to provide the amount you are willing to risk and to determine the relative size of the position you should take to achieve this.

Simple Options Profit/Loss - Google Sheet
Google Sheet Link: https://docs.google.com/spreadsheets/d/1FRbKfvlr721ZIyPNsLwI0_WtGhuvdWfWLC-UOE1Yi1A/edit?usp=sharing
A means to learn how to manually create your own options mathematics which can be applied across your own spreadsheets, programs, and possibly automated trading tools.

Simple Perpetual/Futures Liquidation Price - Google Sheet
Google Sheet Link: https://docs.google.com/spreadsheets/d/1tcb-NzRV_ATDlkKi8LqTorpGYQyv0DQgj9W_AbIFJ2M/edit?usp=sharing
An easy and quick to use tool to assess your estimated liquidation price, present Leverage as well as expected Maintenance Margin requirements.

Deribit Margin Requirement Calculations - Google Sheet
Google Sheet Link: https://docs.google.com/spreadsheets/d/1xSb8Y_nVF1-8ICZHfQNjDWaeqBjqQfGzrYR7Ymgvi84/edit?usp=sharing
A simple tool to understand and visualize both your Initial Margin (IM) and Maintenance Margin (MM) requirements for Perpetuals, Futures, and Options.

Simple Leverage Examples - Google Sheet
Google Sheet Link: https://docs.google.com/spreadsheets/d/1CIcEq-0V2LeNeMos68MdMN-DqEDvKVclcqc5LVhFSAo/edit#gid=0
A quick and easy way to understand how leverage works on Deribit!


Education

Introduction to Cryptocurrency Options (BTC & ETH)
Link: https://insights.deribit.com/exchange-updates/introduction-to-bitcoin-options-profit-loss/
An introduction specifically to BTC Options, which can be applied to ETH Options, describing the basics of options and the specifics of cryptocurrency options on Deribit.
Introduction to Leverage and Margin
Link: https://insights.deribit.com/education/introduction-to-leverage-and-margin/
An introduction to Leverage and Margin on the Deribit Exchange.
Hedging the USD value of your BTC or ETH on Deribit
Link: https://insights.deribit.com/education/hedging-usd-value-by-shorting-1x/
An introduction as to how to peg your present cryptocurrency holdings (BTC or ETH) at the present market value of BTC/USD or ETH/USD for each asset on Deribit.
Comprehensive Resource Tools
Comprehensive Options Profit/Loss - Google Sheet
Google Sheet Link: https://docs.google.com/spreadsheets/d/1vWn9f7kJ73ufuP8qa05Ct76DO58WkwyXVsGcUP2fkMY/edit#gid=1852961659
Learn how to create advanced multi-leg option positions as well as test possible edge cases or specific scenarios.

Market Data

If you are a retail trader and would like to pull historical data we recommend you use our API. If you would like data prepared or more specific data we recommend taking a look at our data providing partners.
Deribit Perpetual Historical Funding Rates - Google Sheet
Google Sheet Link: https://docs.google.com/spreadsheets/d/1XHLiXHdFWKeXBc2WaqCp5-amcHzAyuorp7bW-Y8XfXI/edit?usp=sharing
A simple sheet to either manually check or use as your data source for funding rates across both BTC Perpetuals and ETH Perpetuals on Deribit.

Excel Tools:

Live Deribit Trading Data - Excel Spreadsheet
Link: https://insights.deribit.com/exchange-updates/live-data-in-excel/
A fully-featured Excel spreadsheet that can either serve as your central resource to pull live data from the Deribit Exchange or can form the base of building your own advanced spreadsheet.
Pull Old Data with an Excel Spreadsheet
Link: https://docs.google.com/document/d/1e_cWT2XZ_OXuckobcTMJU4lLI72zrzsdRkZWY-xmghE/edit
This can be appended to the “Live Deribit Trading Data - Excel Spreadsheet” or included in your very own to pull historical data.
Pull Options’ Greeks with an Excel Spreadsheet
Link: https://docs.google.com/document/d/1zaj1YIP6k3sQuG2QSqzkT77rxqdZDTZ5UiJCnqScgPU/edit
This can be appended to the “Live Deribit Trading Data Excel Spreadsheet” or included in your very own spreadsheet.
Pull Open Interest with an Excel Spreadsheet
Link: https://docs.google.com/document/d/1SRRAAmDj8c75AzDwqvDO4i1dCnXQMRLC_C6wUMLAo-E/edit
This can pull the present Open Interest of an instrument using the aforementioned “Live Deribit Trading Data - Excel Spreadsheet” or demonstrate the functionality for you to incorporate in your own spreadsheet.
--------------------------------------------------------------------------------------------------------------------------
Credit must go to Cryptarbitrage for the creation of all Google Sheets and extended Code Snippets for Excel and Lennard for the creation of the original Excel Spreadsheet.
June - 2020
submitted by ElliotP_DeribitCM to DeribitExchange [link] [comments]

I doubt this is helpful, but FWIW...

...as an investor who began my career right before the dot-com bubble burst and invested through the Great Recession, take some comfort in the fact that this experience is providing you younger investors with the perspective necessary to be successful over the long term. If you observe early in life that that there are relatively equal forces at all times trying to make money both on the long and the short side of any asset class, it will give you more opportunity to find long-term success. It's my opinion that without losing your ass once or twice, you can't possibly become a great long-term investor.
Take heart in the potential that is being created in you. If you keep the memory of this and use it to grow, you'll have an advantage going forward, be better attuned to risk and speculative market behavior, and you'll give yourself more opportunity to generate higher long-term returns.
I wanted to give it all up in late 2000...but for whatever reason I stuck with it, and it was worth it. If investing has called to you as a career or hobby, that is a great thing.
Just my 2c. Good luck out there.
P.s. I apologize if this sounds pretentious or anything like that. Definitely not my intention.
Edit: I really hope the following is helpful, and sorry for the crap formatting.
TL;DR - You all know FOMO/FUD really well, and that can be used in more established markets to make solid returns. Measuring risk is as important as measuring your potential returns, always compare. People with no investment experience jumping into an asset class/tons of top-down analysis on an asset class usually means its close to a top. Your experience has value, so don't look at your bank account as the only asset you have...you've all gained experience and that has tons of value, sometimes more than you've lost in money. More investor activity doesn't always equate to more buying, but more balance/rationality, which for an overheated/risky asset can lead to more selling.
I was asked by u/Cryptomoolah about examples of investment learnings I have gathered over the years, so here goes…
  • You guys have experienced some crazy FOMO/FUD levels, so watch for that in more established industries. People still sometimes work themselves into a frenzy over really big markets…oil/gas, financials, pharma, retail…guess what? These are gigantic markets with insanely huge infrastructure underneath them, and they end up weathering BS market sentiment over time much better than people realize, but when FUD hits these guys, look the opposite way. This worked for me well during the recession…NFW all those giant companies were going out of business, and I got some great basis in some very established names. Works same for FOMO …people think we are going to run out of oil, and price of oil goes to $150 and oil stocks skyrocket? We aren’t running out of oil anytime soon, so good idea to reduce your position. Watch for frenzied thinking…you’ve all just graduated with a college degree in FOMO/FUD.
  • Every investment comes with an implied risk measure associated with it. I think about this absolutely every day, every time I choose to deploy capital. You think something can go up 10x? Well, if there is an equal chance it can be down 90%, then (simplistically) you are looking at a 0% risk-adjusted return…and I’d look at other opportunities. There is no such thing as a financial return that didn’t have risk associated. Being a good investor means accurately assessing the risk associated with an investment, and measuring your potential return relative to that. There are complicated formulas around risk measures, but I personally like to think about it simply relative to volatility. It’s just a proxy, but it works…i.e. what is the maximum this asset could fluctuate in price before I’d really be surprised? That gives you a sense of the underlying risk, and therefore how much you need it to “return” to you for it to be worth it. It’s not perfect, but it can keep you out of trouble. For example, some people would say that venture investments usually have a 30-50% risk premium associated, so funds typically need to see a path to returns above that measure to have a positive risk-adjusted return
  • One of my go-to’s (which again, isn’t perfect but something I’ve seen happen) is when retail investors start pouring into an asset class, especially with margin, you are closer to a top than you realize.
  • Top-down analysis is a killer. Hearing how big the market could be and what percentage market share the product will take? That is empty analysis and it absolutely ravaged investors during the dot-com bubble. I mean annihilated. SO many investments based on that flawed thinking.
  • Business model sustainability can get lost during euphoria. Can the businesses being invested in ever really turn a profit, and sustain themselves? What happens when things get more competitive, outside capital dries up, etc?
  • To my earlier point about symmetric pressures on asset classes, one of my good friends asked for my opinion prior to the CBOE opening options trading for bitcoin. At the time, I advised him against investing, simply because options entering a “long-only” situation will pretty much 100% going to focus on shorting. I didn’t do a particularly good job of convincing him though, since he went in anyway. At the end of the day, more exchanges, more funds, more volume, more investors doesn’t just equate to more buying. It equates to more balance, which as the size of the asset class grows, the pressure for balance increases. Keep that in mind too with all this ETF stuff…
  • One very successful, smart PM I knew a long time ago said that if an investment you bought is down 20%, sell it regardless of how much you believe in it. What he meant was you aren’t as intelligent as you think you are, and therefore sometimes mistakes you make are not visible to you right away. An investment you went into that is down 20%, in his mind, is more likely a mistake than a temporary market glitch. He’s basically saying you got the risk-adjusted return wrong, so bail. I admit I have ignored this concept throughout my career, and I have usually been killed for doing so.
  • As far as making you feel better or dealing with being down big, look at it this way: Everything you have is an asset. Your money, your relationships, your reputation, your mind, your experience, your word. So you used to have $60k and now have $20k? You gained $40k of market experience. I could see betting long-term on an investor who has $10k after losing 90% of his/her original principal before I would bet on that same investor with $100k without that experience. Fact is, over the long term having a healthy respect for financial loss/down markets is absolutely necessary for long term success. Don’t throw that away, but cherish it, nurture it, and weave the experience into your evolving investment philosophy.
Couple other things to watch out for (not necessarily avoid, just increase the risk measure):
  • Investments where you are only investing in the quality of the “team” (happens in every market, not just crypto) but without a viable business model,
  • Investments where the business is providing a solution where there isn’t a problem,
  • Investments with fundamental structural problems (no leverage over the supplier or customer, investments where revenue growth is driven dis-economically with no path to sustainability)
Again, just my 2c. My mentor would say you never take 100% of what anyone is saying based on their own experiences, but usually in any person's experience there is always something in there that you can take that is valuable. I hope I have provided something of value to someone.
Edit 2: Thanks to everyone for the kind responses! This is far and away the most engagement I've ever had with a post, and I so appreciate everyone taking the time.
As a few of you pointed out, I was incorrect with my risk-adjusted return example. I used an incomplete example that I will often use in venture investing, but stated it incorrectly and I apologize. The base concept is still valid, I.e. think about downside and incorporate that into your thinking about upside. But the corrected version would be if your investment has a 10% chance of a 10x and a 90% chance of a zero (a stereotypical VC investment scenario) then it's basically a 0% risk adjusted return. In reality, and I touched on this in my response to u/Astrocat15 who pointed out the error, the average investor would also have to come to terms with the possibility of being wiped out and whether that was an outcome that could be accepted, which for most people is not...
Personally, if something seems to have a ton of upside, a ton of downside and I can't get my arms around how to value the thing or weigh the scenarios, I lean towards overweighting the downside and will probably look elsewhere . I might still gamble for fun though...
Thanks everyone, good luck!
submitted by valuational to CryptoCurrency [link] [comments]

WSB101 - THE BOOK OF YOLO: BEGINNERS GUIDE TO TRADING LIKE A DEGENERATE AND EVERYTHING WSB

The Book of Yolo: COMPLETE GUIDE TO WSB
The goal of this is to actually create something that all of you WSB newbies can read - because we’re all tired of seeing the endless wave of uninformed and unavoidable stupidity from those who have never touched the stock market. CALLING ALL NEWFAGS AND NORMIES.
If you can’t read, GFY now.
Now that we will be on the popular section of reddit, this has become pertinent. WSB can't avoid newcomers, so we might as well explain how the clock ticks here. This one is for you all.
This is to serve as a reference what values we hold, what instruments we use, and as a general place to educated the uneducated.
First off, this is the LEAST helpful stock market-based community for newcomers. Sarcastic answers are the only thing of true value here. It isn't a place to learn, but a place to plan out where you will dock your yacht. Newcomers are usually berated upon asking the inevitable stupid questions that they could learn slowly from reading here, or just using a damn search engine. Instead of embarrassing yourself here, you now have the opportunity to read this and get what we’re all rambling about.
This will help you understand what to expect if you make the decision to undertake a WSB style trading career, so you can stay here and contribute to the yolo lifestyle or otherwise GFY.
I will edit in any suggestions that our frequenting users or mods want to add to this as well.
To begin: Here are our topics for WSB101
-Basics (Equities/Stocks)
;
-ETF's
;
-Options
;
-Futures Trading
;
-SubCulture
;
BASICS/EQUTIES Skip if you understand basic stock stuff
Okay, so what is an equity/stock? An equity is essentially what you’d think of as your “vanilla” trading tool. They move up or down depending on market forces, and can range from pennies to thousands of dollars per share. To explain how stocks work, let's define a few terms.
Volume: The number of shares of stock traded during a particular time period, normally measured in average daily trading volume.
Spread: The difference between the bid and the ask price
Bid Price: The current price in which someone wants to buy at
Ask Price:The current price in which someone wants to sell at
Volatility: The WSB favorite. Volatility is referring to the price movements of a stock as a whole. The higher the volatility, the more the stock is moving up or down. Highly volatile stocks are ones with extreme daily up and down movements and wide intraday trading ranges.
Margin: A margin account lets a person borrow money (take out a loan essentially) from a broker to purchase an investment. The difference between the amount of the loan, and the price of the securities, is called the margin. Margin is one of WSB’s popular instruments of wealth and destruction.
Dividend: This is a portion of a company’s earnings that is paid to shareholders, or people that own hat company’s stock, on a quarterly or annual basis. Not all companies do this.
PPS: Acronym for “Price per Share”
Moving Average: A stock’s average price-per-share during a specific period of time.
Bullish: Expecting the stock to go up
Bearish: Expecting the stock to go down
Any raised hands can redirect themselves to here:
http://www.investopedia.com/articles/investing/082614/how-stock-market-works.asp?ad=dirN&qo=investopediaSiteSearch&qsrc=0&o=40186
Now that these terms are defined, let's move into the details of why this is even useful. Most people know what a stock is, but how and why stocks move is a different story. The stock market is essentially a big virtualization of supply and demand - meaning that usually high positive volume creates upwards movement in the PPS, where high negative volume does the opposite. This creates a trader’s opportunity; Generally, the most effective time to buy or sell is where the candlesticks (volume data) are thinning out. When you are ready to take an entry point or execute an exit point, waiting till the volatility (candlesticks) thin out is one method to give you best trade possible.
WSB FAVORITE EQUITIES: Of many equities, WSB favors the riskier ones - but avoiding penny stocks is a policy.
AMD - CEO Lisa Su, Next Gen Processors, chips, graphics. It’s the gamers gambit. Up roughly 1400% as of 2/7/2017 since WSB first mentioned it
NVDA - AMD’s sister? Mother? Daddy? Who knows. NVDA has been a sexy semiconductor leader. Is up 400% since gaining traction on WSB.
FNMA / pfds - Mnunchin, Trump, Big fat fannies. Get your self deep in the fannie. We all want it. WSB 10 bagger candidate for reforming the housing market. WSB holds a large cumulative position that can be seen below. Also a good read is the beginners guide to FNMA. Any post by u/NOVACPA is very often VERY informative on FMNA/pfds.
https://www.reddit.com/wallstreetbets/comments/5oissp/results_wsb_fnmafmcc_holdings
https://www.reddit.com/wallstreetbets/comments/5t7gba/beginngers_guide_to_fnma_fmcc_read_this_before/
ARRY - A biotech champion that prevailed after a lot of failures and huge losses in the biotech sector. Dark times for WSB. Up ~300% since getting traction on the subreddit.
TWTR - WSB likes to buy put option contracts on her. Exemplary of a social media platform that is unable to monetize itself.
TSLA - Maybe not unanimously a favorite, but loved for it’s sexy volatility, Elon Musk, and ridiculously expensive options.
GILD - A Shkreli pump and dump? The greatest large cap pharma recovery of all time? Who knows. Martin took the time to make a post on this reddit and it is up $5 dollars since.
ETF'S
Welcome to the world of investing made easy. Exchange traded funds (etfs) are devices that can be traded like stocks, but often track the value of many companies by investing in their listed assets accordingly. Specifically, An ETF, or exchange traded fund, is a marketable security that tracks an index, a commodity, bonds, or a basket of assets like an index fund. Unlike mutual funds, an ETF trades like a common stock on a stock exchange. ETFs experience price changes throughout the day as they are bought and sold. ETFs typically have higher daily liquidity and lower fees than mutual fund shares, making them an attractive alternative for individual investors.
ETF’s come in beautiful and delicious varieties, often with a BEAR form and a BULL form of each; but the most delicious to WSB are the 3x etf’s. A 3x ETF is one in which the underlying movement of the ETF is leveraged 3:1. Meaning for every movement within the underlying index or stocks, the 3x ETF moves well.... 3x as much..
WSB FAVORITE AND USEFUL ETF’S:
JNUG - 3x Gold Miner Bull - A hit or miss, has extreme intraday movements and essentially tracks GDX (gold miner’s index). Jnug will usually move with a pretty strong correlation to gold, which is affected by the mentioning of rate hikes (negatively), movement of the US dollar (inversely), uncertainty (positively), and supply and demand.
NUGT - Jnug with a different price tag
JDST - The inverse 3x etf of JNUG - or the bear etf. It does almost exactly the opposite movements of JNUG by the tick. Moves for the same reasons, but obviously opposite directions.
DUST - Jdst with a different price tag.
UGAZ - Natural Gas 3x Bull ETF - essentially tracks the price value of the commodity Natural Gas, but more specifically the S&P GSCI Natural Gas Index ER. The index comprises futures contracts on a single commodity and is calculated according to the methodology of the S&P GSCI Index. Natural gas is most affected by Weather temperature conditions (use your brain), petroleum prices, and broader economic conditions.
DGAZ - Inverse of UGAZ
UWT - Crude Oil Bull 3x ETF - extreme intraday movements, closely follows the price of oil. More specifically, it tracks futures. UWT seeks to replicate, net of expenses, three times of the S&P GSCI® Crude Oil Index ER. The index tracks a hypothetical position in the nearest-to-expiration NYMEX light sweet crude oil futures contract, which is rolled each month into the futures contract expiring in the next month. The value of the index fluctuates with changes in the price of the relevant NYMEX light sweet crude oil futures contracts.
DWT - Inverse of UWT
FAS - Financial Bull, specifically FAS seeks daily investment results, before fees and expenses, of 300% of the performance of the Russell 1000 ® Financial Services Index. The fund creates long positions by investing at least 80% of its assets in the securities that comprise the Russell 1000 ® Financial Services Index and/or financial instruments that provide leveraged and unleveraged exposure to the index. Can be used when bullish on US financial services - so banks, lenders, etc.
FAZ - Inverse of FAS
UPRO - S&P500 Bull 3x ETF, essentially tracks the S&P500 and multiplies it’s returns by 3x.
BRZU - Tracks Brazil (in its most basic form). It creates long positions in the MSCI Brazil 25/50 Index.
LABU - Tracks the Biotech sector, or specifically 300% of the performance of the S&P Biotechnology Select Industry Index ("index"). It should be noted that LABU has doubled since just before the election of Donald Trump.
LABD - Inverse of LABU
RUSL - roughly creates 300% of the performance of the MVIS Russia Index.
RUSS - Inverse of RUSL
SPY - Tracks the S&P500, but is not 3x.
OPTIONS:
Alright, so half you are going to understand this, and half of you are not. Pull up an options chain now on any stock (penny stocks and specific stocks do not have chains because of their market cap). Options are truly the ultimate way to achieve maximum risk/reward.
An option is a contract that gives the buyer the right to buy or sell 100 shares of a stock at a certain price, on a certain date. This concept makes options a commodity themselves.
KEY TERMS:
A CALL - is the right to buy. Buying calls is taking a bullish position in its most extreme form.
A PUT - is the right to sell.
The underlying - is the stock that the option is covering i.e. AAPL, GOOG, AMZN
Strike Price - the price at which a put or call option can be exercised.
ITM, In the money - In the money means that a call option's strike price is below the market price of the underlying asset or that the strike price of a put option is above the market price of the underlying asset. Being in the money does not mean you will profit, it just means the option is worth exercising.
OTM, Out of the money - a call option with a strike price that is higher than the market price of the underlying asset, or a put option with a strike price that is lower than the market price of the underlying asset.
ATM - At the money - Strike price at the same price as the underlying
Expiration - Expiries for options are every friday of every week usually, with exceptions such as every month, or every other day - depending on the underlying. SPY and SPX are great examples of very active option chains with expiries every other day. On the expiry date or any time before (with american options), an option can be, but doesn’t have to be exercised, meaning the holder of the option can use it to buy or sell shares of the underlying stock at the strike price. Most people on WSB do not exercise the contracts, but merely flip them for increases in value as the underlying moves.
For example, when AAPL was at 120 before its earnings report, Joe Shmoe Yolo buys 10 FEB 17th CALLS at strike 127 for .60 , each. Now .60 cents is really 60 dollars each, because the contract is multiplied by 100 (the right to 100 shares). In total, Joe Shmoe Yolo spends $600 dollars + commision on this trade. The next day, AAPL leaps to 130 upon great news. These same option contracts are now worth 3.50 each. $350 dollars per contract, times ten contracts is $3500 dollars. Joe Shmoe Yolo just turned $600 into $3500 dollars. MAGIC. Spoiler alert: Joe Shmoe Yolo was me.
That same Joe Shmoe later buys FEB 17th XOM calls at 90, hoping for similar results. However, XOM ends up never reaching anywhere close to the strike price, and the options expire worthless. Get it?
Now what determines the pricing of options?
OPTION PRICING:
Below is sourced from investopedia
Intrinsic Value: The intrinsic value is the actual value of a company or an asset based on an underlying perception of its true value including all aspects of the business, in terms of both tangible and intangible factors. This value may or may not be the same as the current market value. Additionally, intrinsic value is primarily used in options pricing to indicate the amount an option is in the money.
Time Value: Time Value = Option Price - Intrinsic Value. The more time an option has until it expires, the greater the chance it will end up in the money. The time component of an option decays exponentially. The actual derivation of the time value of an option is a fairly complex equation. As a general rule, an option will lose one-third of its value during the first half of its life and two-thirds during the second half of its life. This is an important concept for securities investors because the closer you get to expiration, the more of a move in the underlying security is needed to impact the price of the option. Time value is basically the risk premium that the option seller requires to provide the option buyer the right to buy/sell the stock up to the date the option expires. It is like an insurance premium of the option; the higher the risk, the higher the cost to buy the option. Makes sense, right?
Time value is determined by the expiration date. An expiration date in derivatives is the last day that an options contract is valid. When investors buy options, the contracts gives them the right but not the obligation, to buy or sell the assets at a predetermined price, called a strike price, within a given time period, which is on or before the expiration date. If an investor chooses not to exercise that right, the option expires and becomes worthless, and the investor loses the money paid to buy it.
Volatility:
In an options pricing, you see IV. This stands for implied volatility. The higher that is, the higher the options will be priced Volatility is the extent to which the return of the underlying asset will fluctuate between now and the option's expiration. Volatility, as expressed as a percentage coefficient within option-pricing formulas, arises from daily trading activities. How volatility is measured will affect the value of the coefficient used.
Decaying Nature of Options:
Decay refers to derivative trading (i.e. options). When you sell or buy a call/put (using those two for simplicity purposes) you don't get an infinite time frame to make your dreams come true. Time is your enemy; the further out the expiration date, the less time decay there is. Time decay really hits the worst the week of expiration. Sound confusing? Say you're buying options of the stock WSB (I hope you're seeing what I did there) - and the option costs $1, the expiration is this Friday. Say today is Monday. You buy a call expecting WSB to take you to the moon and beyond. Each day the stock doesn't move closer to your strike price or remains stagnant/drops, you lose value on your option + the time decay. Meaning if it finishes closer to your strike price, your option could be worthless because of that time decay. Questions? Ask away.
A great example of these factors in action is TSLA.
TSLA’s options are among the most expensive for companies in its price range, why?
An in the money TSLA call expiring this week is worth around $1100 per contract. Insanely expensive. But for a reason. TSLA has extreme intraday movements and calls have an implied volatility of 40.92%. Which is fairly high. In addition to that, it holds high intrinsic value / price per share, and a week of time value.
-Futures 101 - The Ultimate YOLO Guide (thanks to u/IncendiaryGames)
Okay, a lot of you have been YOLOing on faggot delights on SPY options. How would you like to trade something with the same or more leverage, 1.0 delta, and no time premium costs? Have you considered futures? What are futures? Unlike options, futures is a contract where both the buyer and seller is obligated to perform the transaction by the expiration. Conversely, in options, only the seller is obligated to perform. That means you can lose more than your investment. Originally they were used by farmers to sell future crops early and guarantee some amount of sales. Since then futures have expanded not just to commodities but currency and equity indices like the S&P 500. Why the heck would I want to trade futures? Here are the advantages: Leverage $5k is the margin requirement for most contracts. For example with the E-mini S&P 500 with 5k you're trading $120k worth of stuff. 1 contract = 500 spy shares. Some brokers offer intraday daytrading margin rates too - TD Ameritrade is 25% of the overnight margin rate($1,250.) Some brokers go as low as $500 an /ES future. SPAN Margin If 24x overnight leverage and 240x day trade leverage didn't give you a hard on there is also SPAN margin, which is like portfolio margin on steroids. The beauty of SPAN margin is you don't need a $125k+ account to be eligible. SPAN will greatly reduce your margin requirements if you hold uncorrelated or inversely correlated positions (up to an 80% discount, here is a list of groups that give discounts) and if you hedge with options. Hedge with the right option or asset and now you have up to 500x day trading margin. 23/7 and day trading Ever get in and out of an equity only to have your broker yell at you to stop doing that or deposit $25k? There is no pattern day trading restrictions on futures. Feel free to day trade and blow up your account as often as you want! You can also trade 23 hours a day. Get trading on how the S&P 500 index will react to news from China right away. Taxes No matter how long or how short you hold you always get taxed under the 60/40 rule. 60% of your profit from futures will be taxed as a long term gain and 40% will be taxed as short term gain. No wash sales. Trade your hearts out. Just remember holding past Dec 31st will treat you as if you closed all your positions that day and you'll be taxed on unrealized gains. Long/Short No need to pay interest or borrow shares as being short a future contract is being a writer, just like an options writer. Options Of course there are options. What fun would it be without options? Unlike stock options each contract gives different number of future contracts. Research what you're trading.
Ok. I'm convinced. I want to strat trading futures! What are some good strategies?
YOLO Strategies
Swing trading Trying to guess/predict/ride sudden market momentum. A low volume average day in the S&P 500 (/ES) for one contract can swing +- $500. Get it right and you can see a huge appreciation of value. /ES is usually highly liquid during regular hours with average volume of 1 million trades and usually bid-ask spreads of one tick. One approach is to buy or short in your direction and put in a stop loss to an amount you're comfortable to lose (say $200.) Since it's so liquid you'll likely be filled at or near your stop loss during the day if your trade goes against you. If you can guess the direction 50% of the time and have trades like this: trade 1 - gain $800 trade 2 - lose $200 Then you may profit over the time period. If you have a 50% chance of being wrong and losing $200 or 50% chance of being right and gaining $800 then over time you'll gain more than you lose. Also, since the present value of your futures contract is included in your margin calculation then if it goes strongly in your favor your position can quickly grow to cover its own margin and you can let it ride for a while. You'll want to be sure you enter a combo buy/short order along with a stop loss order simultaneously, like this for Thinkorswim. Futures can move suddenly and a sudden movement can make you lose a ton of money. Exploiting outdated SPAN margin guidelines There are several out of date correlations between popular futures like oil and say things like wheat that SPAN gives you margin credits on. Take whatever position you want in oil (/cl) then take the opposite in something that doesn't move much day to day with less volatility such as /w (wheat)) and your /cl and /w positions will get a 75% credit, giving you 50% more buying power on crude oil. (2 positions * .25 = 0.5). Trade your heart out on the more volatile future then when you're done close your safer future pair. SPAN is constantly changing but such a complex system definitely has its exploits. Automated/algorithmic trading For you programmer geeks out there it's really hard to algorithmic trade on small accounts due to pattern day trading rules and economies of scale with broker fees. Futures is probably the best way to get your feet wet. Join us on /algotrading if you want to explore more!
Boring safer strategies
I'm including these for completeness but these belong on /investing. Scalping With high frequency trading scalping is less guaranteed. Basically scalping is using tiny momentum as usually there are small micro patterns in futures buying and selling activity where it will rise or fall a couple of ticks. Since the notional value of each tick is $12.5 it's profitable for retail investors and small accounts to act as a market maker after fees at the smallest bid-ask spread possible. Spreads Just like you can trade spreads in options, you can trade calendar spreads in futures. Futures have contracts with different expiration dates and the prices are different for each month of expiration based on the market's expectations. You can go long or short the near month expiration and the opposite for the far month. This will hedge out any sudden market moves as that would likely affect both months. Bull markets in general tend to increase the price of the near month faster than the far month. Basically with a spread trade you're making a long term bet on bull or bear for the underlying future. Pairs trading You can go long in one future say the dow jones (/ym) and short the S&P 500 index and profit off the relative growth. This is a hedged trade as any market ups or downs will likely affect both positions with the same % value. For the past 180 days /ym - /es has been really profitable. Even if you don't do a full perfect pairs trade it is still a great option to reduce the leverage too on whatever index future you're trading so you can stay in longer or overnight. Interest rate and optimal leverage plays Since the $5k investment is equal to $120k of the S&P 500 index currently then you'll likely beat out the market by buying one future contract and putting $115k in safe treasuries or bonds or uncorrelated assets. Some people choose to leverage their stock portfolio and you can get the exact leverage ratio of liquid investments to future ratios. In probability theory the max leverage you can gain is determined by the Kelly Criterion which modeling shows indicates the S&P 500 index to be leveraged to 1.40x. Yes, you could do the same with options but even on SPY deep in the money call leaps are illiquid and have a time premium. Even today they are so deep ITM that the options you would need to use have 0 open interest and a bid-ask spread of $5 per share (so $500 per contract.) You'd need ~5 contracts per 120k so you're already eating $2.5k/$120k - 2% interest rate a year for that leverage. SPX isn't better, it's bid ask is 22 so you'd be eating $2.2k/$120k - 1.83% interest rate. It's doubtful you won't get much past the ask as its only market makers providing liquidity and guess what the market maker will do if you buy/sell the option? They will hedge with the underlying futures until their minimum profit is the risk free interest rate. Hedging Going long and short in various non correlated or negatively correlated assets to seek out a high sharpe ratio and have a higher risk free return that is market neutral. Basic hedge fund stuff. The variety and price efficiency of futures makes things pretty attractive in this area.
SUBCULTURE
Wallstreetbets is a community that has become infamous for the most wild west, moon or cardboard box trades on the planet earth. WSB is a place where you can take out thousand dollar loans, refinance your homes, cash advance all of your credit cards only to put it all on JNUG, and we will still love you. Your mother won't. Your father will never understand your spectrum of autism, but we will always love you. It is a uniquely beautiful community focused on praising its biggest losers as much as its biggest winners. To begin on the subculture, we should define some key moments in the sub's history.
HISTORY: (As made by u/digadiga) + my additions
2012: Jartek [+1] creates /wallstreetbets, and word slowly starts to ooze out. 2013: americanpegasus discovers pennies. AP has seen the light, and is a penny stock evangelist. Jartek & AP have an epic options vs pennies battle - they both lose a couple of hundred bucks, but we are entertained, and WSB is officially born. AP blows up his retirement, swears off pennies and moves onto bitcoins. 2014: fscomeau [+3] discovers options. He repeatedly bets five figures on AAPL calls before earnings. FS claims a supernatural clairvoyance of AAPL. FS then posts about his chest pains and ER visits. He finally suffers an epic loss. Is he dead? Is he alive? Is he is mother? Is he banned? Who cares? 2015: Photos from the 3rd annual meetup are posted. Where a bunch of dudes hang out on the romantic beaches of Guerrero Mexico. In a completely unrelated event, the wsb banner is changed to thousands of ejaculating dicks. Modpocalypse occurs. Hundreds of random users are added as moderators for a few months. None of the new mods can change the CSS. The constant whining about how "wsb isn't what it used to be" continues. Someone attempts to show how selling covered calls is idiot proof, but gets lazy, bets all six figures on Apple, and suffers significant losses. Robinhood gets popular. Should you buy one share of AMZN or one share of GOOGL? Who gives a fuck. 2016: Everyone starts saying "go fuck yourself." Except me. Because I am what I am. And if you don't like it, you can all go fuck yourselves. u/World_Chaos performs one of the more impressive yolo's of the sub, starting with 900 dollars, and turning it into 55k. https://www.reddit.com/wallstreetbets/comments/414blh/yofuckinglo_900_to_55k_in_12_days/?ref=share&ref_source=link 2017: u/fscomeau preforms what he calls "The Final Yolo", a 300k trade against AAPL before earnings (that I, u/thor303456 inversed), supposedly supposed to net fscomeau 2.5 million or so, in which he will finally stop trading. FSC is featured on several market related articles and newspapers, showing up on yahoo, etc. Later we find proof during his livestream of AAPL earnings that he was paper trading. Even later, FSC writes a near 200 page book called "Wolfie Has Fallen" describing how he trolled the entire internet, some following him into that AAPL trade. Martin Shkreli visits the sub and proclaims that GILD pharma is worth over $100 a share and is deeply undervalued.
KEY FIGURES:
Donald J Trump - He is the Marmalade Manchurian, the Tangerine Tycoon, and our spray tan Stalin. Unbelievable night of election. WSB demographics show a primarily capitalist and right wing (or at least joking to be so) point of view, and thus we are generally pro trump. In actuality though, WSB is focused on pro-market, which Trump happens to be.
u/Jartek - Founder of the sub, original yoloer. Believe he has retired from reddit for the most part. Mostly inactive.
u/Fscomeau - The Canadian as some call him, and perhaps one of the most profound internet trolls of 2016-2017. A French-Canadian trader who deals with mostly options. The man has been called "The Great Inverse", and for a good reason. Nearly all of the trades or statements he made on WSB were completely wrong or mostly wrong. Truly the strongest technical indicator.
Martin Shkreli - An idol to many WSBers, Martin stands as the master of the biotech sector. A very debated character for very stupid reasons. Martin regularly tweets about the stock market, occasionally does a youtube channel, and livestreams fairly regularly.
u/theycallme1 - Educated trader, and mod of WSB. Roasts people often and roasts them good. Ask him the questions that aren't stupid. One of the most active mods.
u/world_chaos - some fucking college student with some real net worth. Sits on 100k or so (needs verification), and was an inspiring yoloer to all, with his 900 to 55k yolo with options.
Lingo, Terminology, and Nomenclature:
The Faggots Delights - Truly the most suicidal, yet clearest shot to the moon. This term is usually used to define either weekly, or daily option plays on the SPY/SPX. Some users trade them very profitably, such as u/MRPguy and many in the past.
Cuck - Truly the worst thing you could be. A cuck is a man who likes watching his wife/girlfriend fuck other guys. Weak, spineless, and a term often throw around here.
The YOLO - You only live once. This is something that is, and should be realized as undeniably true. Why are you sitting on a 5k emergency fund that is making you less interest in a year than what I just made in 10 minutes? Why haven't you used all of the credit on your 5 credit cards or used your testicles as collateral for a loan yet? YOLO or YOLOING is as much a psychological decision to embrace absurdism, and win with everything you have while risking it all. Yolo is what it means to be a WSB trader.
Bagholding or a Bagholder - When you're stuck with the most ass trade of your life, because you know it'll go back up. A bagholder is the 59 year old guy at the grocery store who won't quit his Job because he knows he only has to wait another year until he gets a return on his investment (of his life). Anyone holding SUNEQ is the definition of a bagholder.
Autists - Something we embrace, something we call each other, something we all are. Autism isn't used in an offensive way as much as it is a generally accepted term that defines us. The best traders have autism because of their distance from emotion. I bet you never made it to this part of the reading because you're such a damn autist.
Tendies - Tendies are what you get after you make a small amount of money. "I SOLD AMD TODAY FOR A $13 DOLLAR PROFIT, GOING TO MCD's TO GET MY TENDIES". Tendie money is usually shameful and insignificant, but at least it got you tendies. Chicken tenders at McDonalds are the least expensive for the most cholesterol.
I know some of the writing was half ass, full of errors, or otherwise not the best explanation. But I believe this will serve its purpose, and maybe help to promote new ideas from moderately educated traders. WSB has very strong traders, and the most uniquely risky trading styles on the planet. Hopefully this can serve to better the overall community.
You guys are all faggots, upvote this so we can get the noobs to stop trying to bite on our cocks.
Also I'd really appreciate input on anything to add to this overall. It took my over 3 hours to write up, so I eventually grew tired and probably have missing spots.
Enjoy your time here at WSB.
EDIT: Added a shit ton of stuff, fixed errors. THANKS FOR ALL OF YOUR INPUT, ACTUALLY MAKING WSB GREAT AGAIN
MODS: Can we make this editable by others mods or something? My fingers aren't enough. Seems like this could serve as a good "official" thing. Paging u/theycallme1 u/CHAINSAW_VASECTOMY etc
submitted by Thor303456 to wallstreetbets [link] [comments]

Bitcoin market cycle update

Major Cycle Analysis
Note: Research data compiled from blockchain.info, coinmetrics and unchainedcapital.
Bitcoin
As we mentioned in our most recent edition (June) the Bitcoin price has decoupled from the underlying fundamental valuation according to the most relevant metrics. On chain metrics have been implying that Bitcoin is overbought throughout most of this rally. The NVTS ratio for example is seeing its highest levels in 18 months and has finally crossed the overbought level in sync with the most recent sell-off.
It is not uncommon for on-chain metrics and fundamentals to be completely ignored during these types of parabolic moves. The Bitcoin market is still made up majoritively by non-institutional investors and while capital from institutions and professional investors is flowing in gradually, we are currently trading in a very new and unsophisticated market.
This is one of the key reasons we are able to profit so reliably. Emotions run high, there are no trading bots with formulas sophisticated enough to truly know the true price of Bitcoin and the markets are irrational, driven in the most part by fear and greed.
The most recent price balloon to $14,000 followed by a sell off with volumes the largest we have seen since the November 2018 capitulation is one such example.
We will keep you, our traders, informed of any and all portfolio and position adjustments in our trading academy as we always do. I expect the volatility to be substantial, meaning any trading advice given here is likely to be outdated by the time you are reading this.
For this reason this newsletter will be shorter than usual with the majority of our focus now taken away from the fundamentals and onto the recent price action.
Who Is Selling?
The active portion of the total Bitcoin supply (coins that have moved within the last 3 months) has been increasing while all other bands remain flat or moving in the inverse direction (holders continue to hold).
The new sellers are mostly made up of traders and individuals that have been holding for 3-6 months. Some traders are locking profits, others are turning their outlook from bullish to bearish after the swift rise in price and others are selling out to buy more on the dips and increase their overall profits.
This type of trading environment is the fundamental basis for a market that makes higher lows and higher highs. As the sellers are only selling out in an attempt to buy back in at a lower price in the near future.
Long term holders appear to be unphased by the sharp increase in price with their eyes set on a much bigger goal than 100-200% profits. This is a strong fundamental indicator that we are at the beginning of a new long term market cycle. Combine this with the fact that 21.5% of coins have not moved at all in the last 5 years you begin to see that long term holders truly aren’t joining the ranks of sellers even after such a sharp increase in price.
Exchange Flows and Altcoins
We have been monitoring exchange inflows and outflows meticulously. We saw record outflows during April and May, which makes sense considering the majority of buyers during that period were long term investors looking to move their Bitcoin off exchange and into cold storage.
Recently we have noticed an extremely large increase in the inflows to Binance. Generally, a move of this proportion would suggest a sell off. I believe that the reason is twofold. Yes, there were funds moved to Binance to be sold during the most recent parabolic extension. However, it leaves the possibility that individuals may be thinking about moving Bitcoin into alts.
Since Bitcoin exploded in April, alts have significantly underperformed. One could theorise that as the blow off top from the most recent Bitcoin move settles, Bitcoin may trade sideways and create the opportunity for alt season to begin.
Bitcoin dominance has gone from around 50% to a whopping 63% at the end of June and we are still riding that Bitcoin wave right now, however we will be watching any advances in alts closely if Bitcoin appears to stabilise and positive sentiment returns to the altcoin market.
Safe trading - The Team at Boss Crypto
...
Taken from the Boss Crypto VIP research channel at https://bosscrypto.co/
submitted by BawsCole to Bitcoin [link] [comments]

Crypto market cycle update

Major Cycle Analysis
Note: Research data compiled from blockchain.info, coinmetrics and unchainedcapital.
Bitcoin
As we mentioned in our most recent edition (June) the Bitcoin price has decoupled from the underlying fundamental valuation according to the most relevant metrics. On chain metrics have been implying that Bitcoin is overbought throughout most of this rally. The NVTS ratio for example is seeing its highest levels in 18 months and has finally crossed the overbought level in sync with the most recent sell-off.
It is not uncommon for on-chain metrics and fundamentals to be completely ignored during these types of parabolic moves. The Bitcoin market is still made up majoritively by non-institutional investors and while capital from institutions and professional investors is flowing in gradually, we are currently trading in a very new and unsophisticated market.
This is one of the key reasons we are able to profit so reliably. Emotions run high, there are no trading bots with formulas sophisticated enough to truly know the true price of Bitcoin and the markets are irrational, driven in the most part by fear and greed.
The most recent price balloon to $14,000 followed by a sell off with volumes the largest we have seen since the November 2018 capitulation is one such example.
We will keep you, our traders, informed of any and all portfolio and position adjustments in our trading academy as we always do. I expect the volatility to be substantial, meaning any trading advice given here is likely to be outdated by the time you are reading this.
For this reason this newsletter will be shorter than usual with the majority of our focus now taken away from the fundamentals and onto the recent price action.
Who Is Selling?
The active portion of the total Bitcoin supply (coins that have moved within the last 3 months) has been increasing while all other bands remain flat or moving in the inverse direction (holders continue to hold).
The new sellers are mostly made up of traders and individuals that have been holding for 3-6 months. Some traders are locking profits, others are turning their outlook from bullish to bearish after the swift rise in price and others are selling out to buy more on the dips and increase their overall profits.
This type of trading environment is the fundamental basis for a market that makes higher lows and higher highs. As the sellers are only selling out in an attempt to buy back in at a lower price in the near future.
Long term holders appear to be unphased by the sharp increase in price with their eyes set on a much bigger goal than 100-200% profits. This is a strong fundamental indicator that we are at the beginning of a new long term market cycle. Combine this with the fact that 21.5% of coins have not moved at all in the last 5 years you begin to see that long term holders truly aren’t joining the ranks of sellers even after such a sharp increase in price.
Exchange Flows and Altcoins
We have been monitoring exchange inflows and outflows meticulously. We saw record outflows during April and May, which makes sense considering the majority of buyers during that period were long term investors looking to move their Bitcoin off exchange and into cold storage.
Recently we have noticed an extremely large increase in the inflows to Binance. Generally, a move of this proportion would suggest a sell off. I believe that the reason is twofold. Yes, there were funds moved to Binance to be sold during the most recent parabolic extension. However, it leaves the possibility that individuals may be thinking about moving Bitcoin into alts.
Since Bitcoin exploded in April, alts have significantly underperformed. One could theorise that as the blow off top from the most recent Bitcoin move settles, Bitcoin may trade sideways and create the opportunity for alt season to begin.
Bitcoin dominance has gone from around 50% to a whopping 63% at the end of June and we are still riding that Bitcoin wave right now, however we will be watching any advances in alts closely if Bitcoin appears to stabilise and positive sentiment returns to the altcoin market.
Safe trading - The Team at Boss Crypto
...
Taken from the Boss Crypto VIP research channel at https://bosscrypto.co/
submitted by BawsCole to CryptoMarkets [link] [comments]

Deribit Option Theory and Calculation Sheets made by Cryptarbitrage

One of the community managers of Deribit, Cryptarbitrage, provides traders with useful option calculation sheets and writes articles that explain the option trading theories. In this thread we collect his sheets and articles. He posts mainly on twitter (@cryptarbitrage) and the Deribitofficial Medium page.

A short introduction by Cryptarbitrage:
"Although I was aware of options beforehand I only started properly researching them in early 2018 after I discovered the Bitcoin options on Deribit. I do not need much encouragement to build a spreadsheet for something so quickly set about created an Excel sheet that would show me the profit and loss of any options position I entered.
This was a great way to learn all the profit and loss formulas for each type of option as well as how different option combinations interacted with each other. As soon as this sheet was complete I was building positions I still didn’t even know the proper names for so was very much learning by doing. It was immediately obvious to me though that options were the type of instruments I wanted to trade.
After a few months and once I’d done some more reading and was more confident I actually knew what I was talking about I began creating shareable versions in google sheets and sharing them with the Deribit community."

Option theory articles
The links to Cryptarbitage his articles.

Introduction to Bitcoin Options Profit/Loss
An introduction to options. A break down on what options are and how you can trade them. You will find examples of how PNL is calculated and settled with option trades.

Multi-leg Options Positions (Part 1 — Straddles and Strangles)
An introduction to Straddles and Stranglers. In this article straddles and stranglers are explained. You will find examples how to set them up and how to calculate what the possible PNL would be.

Multi-leg Options Positions (Part 2 — Call Spreads and Put Spreads)
An introduction to Call Spreads and Put Spreads. In this article spreads are explained. You will find examples how to set them up and how to calculate what the possible PNL would be.

Multi-leg Options Positions (Part 3 — Butterflies and Condors)
An introduction to Butterflies and Condors. In this article butterflies and condors are explained. You will find examples how to set them up and how to calculate what the possible PNL would be.

Introduction to Options Pricing and Implied Volatility (IV)
An introduction on how to use Implied Volatility as strategy for your trades.

Calculation sheets
These sheets are free to use, all you need to do is save a copy and you can edit the numbers to your desire.

Deribit Liquidation Price Calculator
A simple single position estimated liquidation price calculator.

Deribit Leverage Calculator
A simple single position leverage calculator. You can use either leverage, position size or available margin as input.

Deribit PNL Calculator
A simple single position perpetual and futures PNL calculator.

Deribit Position Builder
A position builder where you can put in several option positions as well as futures and perpetual positions and see the expected overall PNL in a graph according to different expiry prices. Next to that you can add a second position and compare the potential outcome.
"Position builder 2.0. Quite a bit more user friendly than the last one. Check boxes added to add/remove legs, drop down menus to choose call/put, buy/sell and chart range, and the ability to enter two separate positions making comparisons much easier."

zqooN - Deribit - February 2019
submitted by Deribit to DeribitExchange [link] [comments]

What Bitcoin’s Valuation Says About Its Volatility

What Bitcoin’s Valuation Says About Its Volatility


Article by Coindesk: Noelle Acheson
Most of us think we understand the term “volatility.”
We digest headlines about tense political situations around the world; we are wary of explosive chemical compounds; some of us have had relationships with their fair share of ups and downs.
“Volatility” implies sharp and unpredictable changes, and usually has negative connotations. Even when it comes to financial markets, we intuitively shy away from investments that would produce wild swings in our wealth.
But volatility, in finance, is usually misunderstood. Even the most commonly accepted calculation is often incorrectly applied.
Its desirability is also confusing. Investors hate it unless it makes them money. Traders love it unless it means too high a risk premium.
And few of us understand where it comes from. Many think that it’s the result of low liquidity*. This intuitively makes sense: with thin trading volume, a large order can push prices sharply up or down. But empirical studies show that it’s actually the other way around: volatility leads to low liquidity, through the wider spread market makers apply to compensate the additional risk of holding a volatile asset in their inventory.
(*The misconception also stems from our mistaken conflation of low liquidity and low volume — it is possible to have high volume and low liquidity, but that’s for another post.)
This confusion matters in the crypto sector.
Bitcoin’s volatility has often been cited as the reason why it will never make a good store of value, a reliable payment token or a solid portfolio hedge. Many of us fall into the trap of assuming that as the market matures, volatility will decrease. This leads us to believe in use cases that may not ever be appropriate; it can also lead us to apply incorrect crypto asset valuation methods, portfolio weightings and derivative strategies that could have a material impact on our bottom line.
So it’s worth picking apart some of the assumptions and looking at why bitcoin’s unique characteristics can help us better understand market fundamentals more broadly.

Changing uncertainty

First, there are different types of market volatility. Academic literature provides an array of variations, each with its distinct formula and limitations. Jump-diffusion models used to value assets hint at a helpful differentiation. “Jump” volatility results, as its name implies, from a sudden event. “Diffuse” volatility, however, is part of the standard trading patterns of an asset, its “usual” variation.
With this we can start to see that, when we assume that greater liquidity will dampen price swings, we’re talking about “jump” volatility.
“Diffuse” volatility, however, is a more intrinsic concept.
The standard deviation calculation — the most commonly applied measure of volatility — incorporates the destabilizing effect of sharp moves by using the square of large deviations (otherwise they could be offset and masked by small ones). But this exaggerates the effect of outliers, which are often the result of “jump” volatility. These are likely to diminish as transaction volume grows, leading to a misleadingly downward-sloping volatility graph.
JP Koning proposes an alternative calculation that uses the deviation from the middle value rather than the average, which reduces the effect of outliers and shows a more intrinsic volatility measure. As the below chart shows, this has not noticeably decreased over the years.
(chart from Moneyness blog)
Now let’s look at why this might be. A clue lies in the methods used to value bitcoin.

Fundamental value

Bitcoin is one of the few “real assets” traded in markets today, in that it does not derive its value from another asset.
What’s more, it is a “real asset” with no discernible income stream. This makes it very difficult to value. Even junior analysts can calculate the “fair value” of an asset that spins off cash flows or that returns a certain amount at the end of its life. Bitcoin has no cash flows, and there is no “end of life,” let alone an identifiable value.
So, what drives the value of bitcoin?
Many theories have been put forward, some of which we describe in our report “Crypto’s New Fundamentals.” And as the market evolves, some may rise in favor while others get forgotten or superseded.
For now, though, the main driver of bitcoin’s value is sentiment: it’s worth what the market thinks it’s worth. In the absence of fundamentals, investors try to figure out what other investors are going to think. Keynes likened this to a contest in which “we devote our intelligences to anticipating what average opinion expects the average opinion to be.”
Gold is in a similar situation, in that it is also a “real asset” with no income stream and a market value largely driven by sentiment.
So, why is its volatility so much lower?

(chart from Woobull)
Because of “radical uncertainty.”

Changing narratives

In his book “The End of Alchemy”, Mervyn King explains that under “radical uncertainty,” market prices are determined, not by fundamentals, but by narratives about fundamentals.
Bitcoin is a new technology, and as such, we don’t yet know what its end use will be. Everyone has their theory, but as with all new technologies, no-one can be certain, which makes its narrative changeable.
Gold, on the other hand, is neither new nor a technology. It has been around for millennia, and its narrative is not uncertain. Sentiment plays an important part in its valuation, and scientists may yet uncover an innovative use for the metal that affects both demand and price. But its “story” is well established, which gives it a lower volatility profile.
For now, bitcoin’s fundamentals are its narrative, and the uncertainty about bitcoin’s “story” means that its volatility is unlikely to diminish any time soon.

A more prominent role

This matters for its eventual use case: will it always be too volatile to be used as a payment token, store of value, etc.? This in turn impacts its narrative, which affects its valuation and volatility, which affects its eventual use case. The self-perpetuating loop will eventually be broken as the sector matures and bitcoin’s role as an alternative asset class becomes more firmly consolidated — when uncertainty diminishes and its “intrinsic value” becomes easier to quantify.
But until then, its price will continue to be driven by market sentiment, which is susceptible to changeable narratives that in turn are formed by global developments and also by market sentiment.
Until then, market shifts will continue to be amplified in either direction, whatever the trading volume.
Rather than fret about this, we should accept and even embrace it. Increasingly sophisticated providers are working on improving the access to and interpretation of sentiment data, which strengthens our analytical tools. Crypto Twitter provides an engrossing platform to gauge the sector’s mood. And the identification of the impact of narrative and sentiment on an asset class will open up new avenues of investigation that is likely to spill over into other areas of investing.
What’s more, volatility may be inconvenient for some and uncomfortable for many. But it is also an important component of superior returns. Perhaps the tools and skills we develop to hone our bitcoin valuation techniques will enable a more masterful handling of volatility’s inherent uncertainty, and allow for a deeper appreciation of what it has to offer.
Roller coaster image via Shutterstock
submitted by GTE_IO to u/GTE_IO [link] [comments]

Bit Paradise: Providing More Options For Online Casino Games

The online gaming industry is a huge potential that is yet untapped. The gaming industry is expected to grow from $137.9 billion in 2018 to $180.1 billion in 2021. But with all the promises, not all has been put in place to harness the potentials of the industry.

Several factors militate against the speedy growth of the industry. Some of the problems include poor winning returns, lack of dedicated exchange system, and a host of others. What this implies is that, though there are huge potentials, the rate of growth is not as fast as it should be.

Bit Paradise provides the right solutions

While the above problems have been identified as the problems plaguing the online gaming business, Bit Paradise has gone ahead of others to proffer the right solutions to the problems. Its vision is to make gaming easier, more enjoyable and profitable to both the gamers and the providers. This simply means that while the gamers play their online casinos and other games with relish and earn some profits, the site owners should also be able to earn some profits to remain in business.

What is Bit Paradise (BPD)?

Bit Paradise (BPD) is a new, innovative form of cryptographic exchange station which runs on game meta.
BPD’s highest selling point is its compensation arrangement. Apart from having a 1 + 1 profit-sharing trading mining system, BPD has a stable payout and buyback system. Additionally, it mitigates value decline through its safety device, thereby building a complete BPD’s ecosystem that is modern and safe.

BPD offers wide range of gaming options

Bit Paradise does not only provide a gaming platform but ensures that its users have several options to choose from when it comes to playing games online. BPD is set to commence with dicing game and thereafter add other games such as Go-top, Soccer pk, Blackjack, Lotto, Baccarat, Craps, Horse Racing, and Slot. As time goes by, it would expand to accommodate games such as 7 poker.

BET Coin

BET Coin is the official coin for placing bets or playing games on the Bit Paradise platform. It has the same intrinsic value as the Bitcoin (BTC) and one can only get BET points upon depositing BTC. Once you deposit BTC you get 2.5% of BET point from what you deposit.

BET coin would be highly regulated to ensure that only a few coins shall be in circulation in order to mitigate volatility. The coin derives several benefits from the profit sharing from the available games such as Roulettes, Slot, and Craps. The coin will be listed on exchanges as soon as possible to provide for an open market.

Mining and Payouts of BET

The BET Coin has an average daily mining capacity of 1.4 million units. The level of contribution during trade on the exchange determines the amount that is mined.

The payout accruable to players is 60% of Transactions fees Rewards + 20% of Buyback + 20% of Winning returns.
30% of Winning returns from Dice game + 20% of BET holder Rewards, 30% of Buyback of Winning returns
20% of winning returns from dice game when holding BET

BPD’s Token Sale

BPD will be issuing its token to the public soon, with a total of 2 billion units expected to be made available. The sharing formula for the tokens include
50% (1 billion units) will be for trading mining.
20% (400 million units) will be for the Foundation Team. 33% of the token will be released from 1 year.
12.5% (250 million units) will be for Marketing.
10% (200 million units) will available to the public during token sale
5% (100 million units) is reserved for the Partners and Advisers
1.5% (0.3 billion units) is reserved for Referral.
1% (0.2 billion units) is for Bounty.
Price for the token during presale is $0.02 (All tokens that are unsold and unused would be discarded in the future).
The average amount of tokens to be mined daily is 93,000 units.

BPD’s plan for the future

Bit Paradise was founded in Singapore in 2018 and has built a safe and complete ecosystem that enables online gamers to make profit via casino meta and ensures that the token does not easily lose its value.

BPD’s biggest dream is to dominate the global exchange market through its innovative approach. BPD has plans to expand into the South American markets as well as the Latin America including Argentina, which has already commenced the use of cryptocurrency for bank remittances. The next destination would be China, Korea and Southeast Asia. Furthermore, BPD hopes to make inroads into eight countries by the second half of 2019.

BPD looks promising in its unique winning sharing formula and other compensation plans. But how it is able to distort the market cannot be fully determined until it begins to unveil its plans and strategies.
submitted by Bitparadise to u/Bitparadise [link] [comments]

Valuing Bitcoin: this got no love when I posted a year ago, but just re-read and I still think it provides a useful framework that I've not seen elsewhere (which is odd because it seems obvious)

Background: A lot of the discussion on bitcoin value is IMO lacking in a proper analytical grounding. People throw out random numbers, or say you should look at the market cap of visa etc, without providing any rationale. I'm not an academic, but I studied economics and spend my day valuing companies so I have a degree of expertise. I also did a bit of research to understand better the dynamics of other currencies to which I compare certain attributes, e.g., velocity. Note that this is over a year old so the numbers are a bit out of date but that shouldn't make much difference to the basic analysis. The link to the article on scribd is here...
http://www.scribd.com/doc/217902157/Valuing-Bitcoin
... and I've inserted the full text here (I guess the formatting will not be great)..
Valuing Bitcoin
Summary: I use a very simple model of transaction value, bitcoin velocity and the number of bitcoins in use to derive a fair value for a bitcoin today. Rather than trying to analyse in detail the likelihood of and means by which bitcoin may become more widely adopted, I use a scenario analysis that allows us to take a ‘finger in the air’ approach to estimating the likelihood of Bitcoin’s success or failure. Taking this approach we can back-calculate to work out what is implied in the current valuation of bitcoins in terms of likelihood of adoption, or other key variables.
This is primarily a simplified framework to help elucidate the fundamentals that drive the value of bitcoins. The assumptions herein are very ‘back of the envelope’ and are principally for exposition.
  1. First principles
The value of a single bitcoin is related to the value and velocity of transactions made using bitcoin, and the volume of bitcoins in use.
The value of transactions made with bitcoin. Let’s say we assume that bitcoin will succeed in becoming the payment choice for US$100bn of transactions per year. Let’s also first assume that this US$100bn takes the form of one single transaction – say to buy all of the outstanding stock of Facebook. In order for this to be possible, the entire market value of Bitcoin would need to be at least US$100bn. For argument’s sake, let’s say someone managed to accumulate all of the bitcoins in existence (ca.12.5 million today) and used them to make this transaction, then we can infer that the value of a single bitcoin, when this transaction happens, is $8,000.
The velocity of transactions made with bitcoin. Let’s take the same example above, but this time let’s assume that rather than one transaction, it takes the form of two transactions – let’s say to buy ‘whataspp’ and ‘wechat’, for the equivalent of US$50bn each. Let’s further assume that the seller of whatsapp, uses the US$50bn of bitcoins he has received, to buy wechat. How much does Bitcoin need to be worth to facilitate this series of transactions? Hopefully one can see that at the very least, it needs to be worth $4,000, half of the example above, because the same bitcoins could be used twice. Therefore, the same ‘value’ of transactions has been facilitated, US$100bn, but depending on the number of times the same bitcoin can be used the implied value of bitcoin can differ.
The volume of bitcoins in use. The previous two examples have assumed that the whole outstanding stock of bitcoins is being used to facilitate the transactions. This is unlikely to be true. It is very likely that a good number of bitcoins have been ‘lost’ – ie., stuck on hard drives thrown into landfills, etc. Let’s assume there are 2.5 million lost bitcoins – the value in our first example would then have to be US$10,000. Moreover, clearly a lot of people today hold bitcoins as a store of value, or perhaps more accurately, as a speculative investment. The number of bitcoins genuinely in circulation, therefore falls still further.
  1. Arriving at a formula to determine the value of a bitcoin
Using the basic principles outlined above, we can generate a simple formula to describe the value of a bitcoin as such:
1 btc = T/V/U
Where T = transaction value V = velocity U = no. of bitcoins in use
This is obviously a simplification, so we need to explore each aspect in greater detail to understand how to use it properly.
2.1 Transaction value (T)
How do we determine transaction value in the real economy? The obvious place to look is GDP, the most widely used measure of economic activity. It measures the value of all final goods and services consumed in an economy. Does this equate to the value of transactions in the economy? No – because before a good is finally consumed there are typically many other transactions going on to facilitate its transformation from raw material, to intermediate good, to finished good, to consumption by end consumer. The advantage of GDP, however, is that it is relatively easy to measure. Estimating the value of all transactions, on the other hand, is very hard and is a problem economist have recognized for a long time. That is not to say there aren’t estimates: a September 2013 white paper by Mastercard estimated the total value of transactions globally in 2011 as $592 trillion, compared to global consumer payments / GDP of $63 trillion. This may well be a good ballpark figure, however for our purposes we can probably just stick to measures of GDP. Why? Because, faced with this measurement issue, economists have worked around it to base their analyses on GDP, and therefore as we try to compare bitcoin value versus, say, the USD, it makes sense to use the framework most commonly used.
It is important to understand, however, that because of this framework only bitcoin transactions that are used in the final consumption of goods and services count towards our measure of ‘T’. Trading of bitcoins, or international remittances, for instance, do not count.
2.2 Velocity (V)
Given the difficulty in measuring the value and volume of transactions in an economy, it is quite difficult to measure velocity directly, in an accurate or meaningful way. To get round this problem economists take a different approach, which is quite useful for our purposes. Rather than measure velocity (V), we measure the ratio (k) of all cash balances in the economy (coins, notes, bank deposits – M1 money) to a measure of transaction volume, in this case GDP. By means of illustration, this ratio for the US today is about 14%. This means that to support the USA’s GDP of $16 trillion, roughly $2.3 trillion needs, at any one time, to be sat in bank accounts, in people’s wallets or under the mattress. Put simply this measures how much people and businesses like to keep on hand for everyday consumption. The rest of their savings can go into non-cash savings vehicles, like a house, or the stock market.
The velocity of money V can be seen as the inverse of k – i.e, each dollar of that $2.3 trillion would need to be spent around 7 times in the year to generate the $16 trillion in GDP. This in reality is a simplification, but we can work with it to come up with comparable assumptions for bitcoin.
2.3 Bitcoins in Use / Money supply (U)
In order to work out the velocity of money in the US economy, economists need to know the money supply. Figuring out the money supply in fiat currencies is more complex than for bitcoin – this is because there are different types of fiat money – it can be in the form of coins and notes, or in basic bank current accounts, savings accounts, fixed deposits, etc. In the example above we calculated the velocity of M1 money – that is coins, notes and demand deposit bank accounts.
Bitcoin is just bitcoin, and we know there have been ca. 12.5m bitcoins mined. That being said, it is not so straightforward to determine bitcoins ‘in use’. For one, there are all the lost coins. In the analysis herein I have assumed 2.5m have been lost (or, more accurately, private keys lost). There is also the question of how to treat those bitcoins that are being held for investment purposes. M1 is sort of a measure of ‘ready cash’ – a description that does not really apply to most bitcoins. In reality, most bitcoin holders probably treat some portion of their stockpile as ‘ready cash’, and the rest as investment. It is this ‘ready cash’ proportion that is of interest in calculating U.
  1. Estimating a value for bitcoin
With the above analysis in place, it is easy to start understanding the implications for the value of bitcoin. For example, if the US were to switch to a pure bitcoin economy today, and the velocity of bitcoin was the same as for the dollar, then we can say the value of a single bitcoin would need to be:
Btc = T/V/U = 16 trillion / 7 / 12.5 million = $183,000
3.1 The value of bitcoin based on today’s usage
Estimating T, V and U:
T. It is quite hard to estimate what T is today. We know the total transaction value from the blockchain, but most of this is exchanging bitcoin for other currencies or transfers between accounts. This doesn’t count in our estimate of bitcoin ‘GDP’. We do know it must be quite low – the most well known retailer accepting bitcoin, Overstock.com, takes in about $1m in bitcoin sales per month, so $12m per year. Let’s estimate, finger in the air, that total real world goods and services transactions in bitcoin are $1bn per year – this may well still be high.
V. It is very difficult to estimate velocity for those bitcoins that are in use as ‘currency’. It seems a fair assumption, however, that the velocity is slower than for USD, since there are simply not many bitcoiners out there buying and selling stuff. Again, with a finger in the air, let’s assume velocity of bitcoin today is 1 (compared to around 7 for the USD).
U. we know there have been around 12.5 million bitcoins ever mined – but are they in use? Certainly, some have been lost, so we should definitely remove them from our calculation of U. What about coins that are being used for speculative investment? Are they in use, but just very slow moving? We could choose to look at it that way, but I would rather assume that people using bitcoin see some of their stockpile as being ‘for investment’, and some as for everyday spending. Those that are for investment are really more like houses or stocks and bonds, and therefore not really part of U. Over time, as bitcoin approaches its long term price we would expect that people would hold bitcoin less as an investment, and therefore bitcoins in use would rise. For now though it seems clear that most bitcoins are being held for investment. Again, it is impossible to say what proportion, but I think it is high – say at least 80%. If we assume that 2.5 million bitcoins are lost, and that 80% are for investment, that means that only 2 million are ‘in use’.
These finger in the air assumptions give us the following as a minimum value required to support the value of btc transactions in the economy today:
Btc = T/V/U = 1bn / 1/ 2mn = $500.
Of course, we know the value of bitcoin today (ca $422 as of 12 April 2014), so we could back calculate the value of an individual variable. Since the average value of bitcoin over the last year or so is in the $500 range, these assumptions look plausible.
The true, fair, value of bitcoin today, however, given that most people are holding it as an investment, is clearly based on future expectations of its adoption and usage. Below, therefore, I build up some basic assumptions about what that could look like, to derive a very rough, back of the envelope type calculation for the real value of one bitcoin.
3.2 Estimating a fair value for bitcoin
Obviously, it is very unlikely that bitcoin will replace the US dollar, so we need to arrive at some sort of reasonable assumptions for what might happen.
For the purposes of this exposition, I will focus on where bitcoin could be in 5 years time. This is a close enough time frame to feel comfortable making some sort of prediction. Of course, the full potential of bitcoin may not be realized for 10 or 20 years or more, however in order to be conservative and to keep the assumptions at a level where people can have a good gut feel for whether they are realistic or not, let’s stick to 5 years.
I’m going to use three scenarios: 1. Crash and burn – where bitcoin is dead in 5 years – no one is using it at all – it just didn’t live up to the hype, there are a couple more gox like scandals and the original evangelists have moved onto new things 2. Nice but boring – bitcoin continues its slow but steady rise, but there is no exponential take off and usage remains confined to online payments by the relatively tech-savvy and libertarian 3. To the moon – bitcoin reaches critical mass, usage becomes easy, widely accepted and the wider population starts to understand it better. In developed markets it takes meaningful market share in online transactions and is beginning to make meaningful inroads in offline payments. In some emerging markets it is trusted more than the local currency, and adoption rates are soaring.
Basic considerations on U
I don’t know the answer to this, someone probably does, but let’s assume that in 2019 there have now been 15 million bitcoins mined. Let’s assume 2.5 million are still lost, so there are 12.5 million bitcoins, either being used as an investment or as currency.
Scenario 1 – Crash and burn
In our equation T = 0 (or very close to 0) therefore:
1 btc = 0/V/U = $0
Scenario 2 – Nice but boring
Let’s say that bitcoin takes 1% of online spending, and basically zero offline spending. E-commerce in 2019 is expected to be valued at around $3 trillion. Therefore we assume T = $30bn. Remember we estimated that T today is around $1bn.
Since there is a material amount of spending happening now, let’s assume that V has doubled to equal 2.
In this scenario it is likely that most people are still holding bitcoin as an investment, hopeful of future price increases, however it has been almost 10 years since bitcoin was founded, bitcoin are a lot easier to spend and after holding for so long people are now more willing to spend them. There are probably a decent number of second stage adopters using bitcoin just as an online payment vehicle, not for investment. So let’s assume that just 70% of bitcoins are held as an investment, and therefore there are 3.75m being used for transactions. Therefore:
1btc = 30bn/2/3.75m = $4,000
Scenario 3 – To the moon!
In this scenario bitcoin has really taken hold, particularly online, where 20% of transactions now use bitcoin. Offline uptake is slower, but gaining traction. Let’s say 1% of offline transactions in developed markets use bitcoin. In emerging markets, where currencies are volatile, and where a lot of people have been receiving remittances in bitcoin from relatives abroad, offline uptake is greater, let’s say 2%.
Online transactions – 20% x $3 trn = $600bn Developed world offline – 1% x $45trn = $450bn Developing world offline – 2% x $30trn = $600bn
T = $1,450bn
In this scenario spending has really taken off, so let’s assume velocity (V) has now reached 5.
Of the 12.5 million coins in existence now, a good chunk are actually being used for real world transactions, so let’s say only 50% now are being held for investment – i.e., U = 6.25m.
1 btc = $1450bn / 5 / 6.25m = $46,400
Probability of occurrence
To estimate our bitcoin value, we take a weighted average of the values produced by each scenario, based on an assumption about the likelihood of each coming to pass.
Scenario Btc value Likelihood Weighted value 1. Crash and burn $0 50% $0 2. Nice but boring $4,000 45% $1,800 3. To the moon $46,400 5% $2,320 100% $4,120
Therefore, if you accept the assumptions above, and the probability attributed to each scenario, the probability weighted value of a single bitcoin in 5 years time will need to be $4,120.
Time value of money
To reach a valuation for a bitcoin today, we need to discount backwards from the value in 5 years time. This is very simple, since we do not need to discount heavily as we have already considered the ‘risk’ within our scenario analysis. The only discounting we need to do is therefore at the risk free rate, which is usually taken to be the yield you would get if you held a US Treasury bond of similar duration. Let’s say this is 3%. Discounting $4,120 back to today we therefore arrive at our final ‘finger in the air’ value for one bitcoin today:
1 bitcoin = $3,554
  1. Implications of the current btc value
As of April 12 2014, the value of one bitcoin is around $420. We can take this value and, holding other assumptions as they are, solve for a single variable to see what might be happening.
For instance, perhaps I am being unfair in treating some bitcoins as out of use. If we solve for U, taking $422 as the value of one bitcoin, the implied number of bitcoins in use is 43 million – an impossible number. Let’s assume that in 2019 all 15 million bitcoins ever mined are ‘in use’, and that the velocity of transactions stays the same. If so, the value of 1 bitcoin today ought to be $1,222.
If we solve for the probability of scenario 1 happening (keeping the ratio of the likelihood of scenario 2 and 3 the same), we discover that today’s $422 valuation implies a likelihood of bitcoin ‘crashing and burning’ of 94.06%.
submitted by yingguoreninchina to Bitcoin [link] [comments]

Implied Volatility Formula IV and How to Use it Trading ... Calculate volatility & yearly volatility in Excel (Bitcoin volatility) Implied Volatility And Option Prices  Trading For Newbies ... Implied Volatility & Standard Deviation Relationship ... Option Chain Probability - Implied Volatility Excel Sheet ...

Bitcoin Implied Volatility. Quedex offers the opportunity to place orders (in order book in Web App) in implied volatility (denoted as IV). Implied volatility is value of the volatility of the underlying asset such that, if we use it to determine price of the call or put european option in the option pricing model (such as Black-Scholes model), than the theoretical option price is equal to the ... Historical Volatility Percentile tells you the percentage of the days from the past year (252 trading days) that have lower volatility than the current volatility. I included a simple moving average as a signal line to show you how volatile the stock is at the moment. I have included simple colors to let you know when to enter or exit a position. Buy when... Implied volatility followed through, remaining above the 20-day historical volatility window until mid-March but came back down quickly, trading at a discount (ratio of VIX to realized between 50% and 100%) until early May. This is due to historical volatility being impacted by high initial swings early March that remained within the computation window for 20 days. Actual returns were by then ... Cui et al. (2020) - A closed-form model-free implied volatility formula through delta sequences. share improve this answer follow answered Jun 22 at 14:47. ilovevolatility ilovevolatility. 2,421 5 5 silver badges 21 21 bronze badges $\endgroup$ add a comment 0 $\begingroup$ To get IV I do the following: 1) change sig many times and calculate C in BS formula every time. That can be done ... Implied volatility is derived from the Black-Scholes formula, and using it can provide significant benefits to investors. Implied volatility is an estimate of the future variability for the asset ...

[index] [48585] [48229] [43360] [32393] [34820] [8054] [40077] [39619] [25647] [1317]

Implied Volatility Formula IV and How to Use it Trading ...

in this video. I discussed the implied volatility which Implied Volatility is the "wildcard" in Option prices. Ignore it, and you will pay a price. In fact, it's so important we have at least four ... Implied volatility formula video you'll learn how option volatility and pricing affects the value of options contracts. 📚 Take our FREE options course here: ... Please like and subscribe to the channel. This video shows how to calculate the volatility and the yearly volatility. In my video I calculated the volatilties of the Bitcoin. Comment below any ... The most important basic concept, Implied Volatility On this episode of Trading For Newbies, Ryan and Beef explain implied volatility and its relationship to... Option Chain probability can help you earn huge profit from the stock market. However, the option chain analysis helps investor or trader to find out the sho...

#