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Hans Berggren

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  1. Include ATM 3 month implied volatilities to help with value discovery. Also need to know the volatility history.

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    1 comment  ·  General  ·  Admin →
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    Hans Berggren supported this idea  · 
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    Hans Berggren commented  · 

    I would recommend including data for implied volatility, historical volatility, and the ratio of the two for an underlying. Perhaps using a graph. IV impact could be simplified into "low cost" and "high cost", perhaps, to address the "Valuation" suggestion below. (I'm sure you're factoring in IV in your scoring algorithms.)

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