Jan
30
Another volatility measure, from Zubin Al Genubi
January 30, 2026 |
Take a price corridor by forming a double barrier (rounds might be nice) delta up and delta down from the initial spot price. When the barrier is touched, we note the exit time, t1, and reset the barrier around the current price. This generates a sequence of exit times t1, t2,…,tn from which we want to estimate volatility. This shows how fast price moved.
Peter Ringel writes:
TY, this looks like a clever approach. I do something similar with zigzag vol and time. It is computational heavier. Yours sounds lighter. Will try it.
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