Historical volatility analysis · TradersWeek

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Output: Market-regime classification
Input: Cross-market prices, volatility, carry and portfolio weights
Horizon: Weeks to months
Best use: Put a single trade into a diversified or regime-aware context.

Input: Cross-market prices, volatility, carry and portfolio weights.
Output: market-regime.
Use boundary: Put a single trade into a diversified or regime-aware context.

The graph3

How the method is built, and where it has been read

Depends on

Often reviewed together

Option spread5 readings

Often reviewed together

Option premium analysis8 readings

Often reviewed together

Implied volatility analysis23 readings

Read in the archive24 of 61 readings

1985Putting listed option premiums in volatility-regime contextOptions and volatility 1988When volatility, not direction, selects the option spreadOptions and volatility 1988Path-aware volatility for option-replication costOptions and volatility 1989Path quantiles versus net return for index velocity regimesSeasonality and regimes 1989Option premium inside a volatility regimeOptions and volatility 1989Constructing a delta-hedged implied versus historical volatility bookOptions and volatility 1990How a 1989 Eurodollar break turned cheap volatility into a regime-aware bookOptions and volatility 1990Weekly range volatility as a tactical regime filterOptions and volatility 1990Constructing a two-line relative volatility indexIndicators and filters 1990Constructing consistent historical and implied volatilityOptions and volatility 1991Weekly close-to-close volatility as a horizon filterIndicators and filters 1995A modified volatility construction for weeks-to-months regimesOptions and volatility 1995A short-to-long historical-volatility ratio as a regime-gateOptions and volatility 1995Why historically tested rules fail without a decision processDecision process 1996Option smiles as a critique of constant volatilityOptions and volatility 1996Volatility-ratio, inside-day and narrow-range-4 entry constructionEntry and exit rules 1996Pairing short and long historical volatility for regime contextOptions and volatility 1996Volatility contraction and narrow-range breakout rulesEntry and exit rules 1997Clustered true-range days as a regime label rather than a top forecastIndicators and filters 1998Normalized multi-horizon historical volatility constructionIndicators and filters 1998Gold volatility breakout as one written entry and exit procedureEntry and exit rules 1998Constructing a stock-book duration proxy from beta and bond marketsIntermarket and spreads 2000Pair historical volatility with return-to-loss filtersOptions and volatility 2001When beta hedging misreads portfolio volatilityOptions and volatility

This registry entry describes a research method. It is not investment advice and does not make a performance claim.