22 September 2009

More on That Oil Option Skew

The Bloomberg oils option article I mentioned yesterday has caught a couple of other options bloggers attention today.

Don Fishback has a closer look at the directional implications of the downside skew and concludes it doesn't really mean a lot.

Adam Warner makes substantively the same points as me and takes a swing at Bloomberg clich├ęs, but is also skeptical of any directional signals.

Looks as if Bloomberg has been pwned by the blogosphere on this occasion.



5 comments:

Adam said...

lmao, guess we all pretty much picked up on the same things. I liked your take better than mine.

duc said...

Wayne,

Can you calculate, or find the Historical volatility of AUY

I have it calculated @ 89.2% but would like a check on my calculation.

jog on
duc

Wayne said...

Duc,

We are talking Yamana Gold?
I've got 20 day HV @ 60.70% and 30 day @ 53.4%

duc said...

Wayne,

That's the one.

My figure was for 1 year, so that sounds about right.

Ta.

jog on
duc

duc said...

Wayne,

That's the one.

My figure was for 1 year, so that sounds about right.

Ta.

jog on
duc