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Self-Taught Quant (guest: Harel Jacobson)

The Market Huddle

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How to Measure Real-Life Volatility

The best kind of way to estimate future volatility is to look at past volatility. But that's a backward looking thing. And where is the options that you're trading today are kind of a forward looking thing. If we measure it on like, like, intraday base, let's say open close, high to low kind of measure, which is called the garment class seeing the rank for anyone who wants to Google that up. So it all depends on how frequent you sample the market and how and what your window of sampling is.

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