Re:Buffett Says Stock Ownership Became More Attractive With ...
by FabHK on Wednesday January 10, 2018 @03:44PM
(#16118897)
I'll buy a 5yr ATM put at 1038 USD!
1. There's no way rates dominate vol for BTC.
2. Bitcoin vol is way higher than that. It's obviously higher than most stocks, and stocks are in the 20% range.
My quick calculation gives me an annualised vol of about 90% over the last year, and 140% over the last month.
That gives a put value between USD 8000 and 12000, in other words approaching the "infinite vol" limit (present value of strike).
EDIT to add: BSM takes annualised vol (or, to put it differently, vol enters only in the term sigma^2*T, and that product must be dimensionless, thus the unit of vol is 1/sqrt(year), or whatever unit you use for T). To compute it, take the average of squared log returns over a period (ie, take average of LN(P(t)/P(t-1))^2), annualise by multiplying with 365 if you have daily prices (or 252 if you have business daily prices), and take the square root of that.
1. There's no way rates dominate vol for BTC.
2. Bitcoin vol is way higher than that. It's obviously higher than most stocks, and stocks are in the 20% range.
My quick calculation gives me an annualised vol of about 90% over the last year, and 140% over the last month.
That gives a put value between USD 8000 and 12000, in other words approaching the "infinite vol" limit (present value of strike).
EDIT to add: BSM takes annualised vol (or, to put it differently, vol enters only in the term sigma^2*T, and that product must be dimensionless, thus the unit of vol is 1/sqrt(year), or whatever unit you use for T). To compute it, take the average of squared log returns over a period (ie, take average of LN(P(t)/P(t-1))^2), annualise by multiplying with 365 if you have daily prices (or 252 if you have business daily prices), and take the square root of that.