I was inspired by Jeff Augen to look up Nikkei 225 Index volatility between trading and off hours, and as expected a significant discrepancy is seem between them, with widely used close-to-close historical volatility at about the middle.
Why is this important?
It COULD be a way to exploit inefficiencies within option valuation, specifically vega.
Nikkei225 Realized Volatility since 1986
I used Nassim Taleb's method for volatility calculation using squared returns.
V.OC - Annualized Historical Realized Volatility from open to close (Intraday)
V.G - Annualized Historical Realized Volatility from the overnight Gap
V.C - Annualized Historical Realized Volatility from close to close (conventional means)
Why is this important?
It COULD be a way to exploit inefficiencies within option valuation, specifically vega.
Nikkei225 Realized Volatility since 1986
I used Nassim Taleb's method for volatility calculation using squared returns.
V.OC - Annualized Historical Realized Volatility from open to close (Intraday)
V.G - Annualized Historical Realized Volatility from the overnight Gap
V.C - Annualized Historical Realized Volatility from close to close (conventional means)
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