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Strategies & Market Trends : Option Spreads, Credit my Debit -- Ignore unavailable to you. Want to Upgrade?

To: NateC who wrote (522)	2/14/1999 8:03:00 AM
From: jjs_ynot	Read Replies (1) \| Respond to of 2317

That is correct it is the variance relative to S&P 500 variance. It is not a clean calculation however. A strong trend can skew the calculation. The trend following parameter is called alpha I believe and is the basis of the analysis fo the person who publishes MPT review whose name escapes me at the moment. The problem is picking a time frame (rolling window) to compute the variance and thus the Beta. Did you find anything useful in the CBOE historical volatility data?