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 clichés, but is also skeptical of any directional signals.

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



5 comments:

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

    ReplyDelete
  2. 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

    ReplyDelete
  3. Duc,

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

    ReplyDelete
  4. Wayne,

    That's the one.

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

    Ta.

    jog on
    duc

    ReplyDelete
  5. Wayne,

    That's the one.

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

    Ta.

    jog on
    duc

    ReplyDelete