m******i
发帖数: 49 | 1 implied vol总是比realized vol高，那一个人如果keep selling options如何会亏钱
？ | p*****w
发帖数: 82 | 2 Implied vol is the expected vol between now and T exp. Realized vol is the
historical vol. | T*******t
发帖数: 9274 | 3 没有delta neutral呗。想亏钱太容易了
【在 m******i 的大作中提到】
: implied vol总是比realized vol高，那一个人如果keep selling options如何会亏钱
: ？
| t**********a
发帖数: 166 | 4 It is true that most of implied vol is higher than historical realized vol,
i.e.,
VIX is 1-2% higher than SPX realized vol.
This might be due to followings,
1. the calculated realized daily return vol might be smaller than the
realized quadratic variation, the intra fluctuation can make more profit if
long gamma (buying option), thus the marker maker might want more premium
2.It is also depending on the vol surface, and supply and demand balance for
up/down move.
【在 m******i 的大作中提到】
: implied vol总是比realized vol高，那一个人如果keep selling options如何会亏钱
: ？
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