Hey, you wrote "... we will compare the current straddle price against an average of the last 14 days' moves observed in the underlying (no overlapping)" ... does that mean for a particular straddle you take the x past non overlapping 14 d periods? So e.g. if x=2 you take approx the last month's data as two non-overlapping 14day periods are approx one month... then you calc the price movements of those two periods and average them out.. finally you compare this average two the current straddle price... thanks in advance!
Hey, you wrote "... we will compare the current straddle price against an average of the last 14 days' moves observed in the underlying (no overlapping)" ... does that mean for a particular straddle you take the x past non overlapping 14 d periods? So e.g. if x=2 you take approx the last month's data as two non-overlapping 14day periods are approx one month... then you calc the price movements of those two periods and average them out.. finally you compare this average two the current straddle price... thanks in advance!