S&P Index Options & Volatility
Your intraday volatility ratio looks really useful. Is the (op-cl) ret^2 numerator using 1 minute data (and the denominator also one minute but summed over 5 mins?) Thanks -- Frank (NYC)
Dm'd, its open-close squared ret / 5 min squared rets, don't use 1 min data, only 5 min!
Your intraday volatility ratio looks really useful. Is the (op-cl) ret^2 numerator using 1 minute data (and the denominator also one minute but summed over 5 mins?) Thanks -- Frank (NYC)
Dm'd, its open-close squared ret / 5 min squared rets, don't use 1 min data, only 5 min!