tag:blogger.com,1999:blog-19649274.post115454454022786583..comments2024-03-27T17:16:12.789+05:30Comments on The Leap Blog: Flying blindAjay Shahhttp://www.blogger.com/profile/03835842741008200034noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-19649274.post-1156479091131064742006-08-25T09:41:00.000+05:302006-08-25T09:41:00.000+05:30Does the Nifty option implied vol make much sense...Does the Nifty option implied vol make much sense? I don't know. There isn't yet a paper on it (to the best of my knowledge).<BR/><BR/>One big problem is that NSE does not release the intra-day time-series of timestamped market-by-price (the top 5/10 prices and associated quantities). This makes it difficult to get time-aligned midpoint quotes on the spot and on the derivatives, using which accurate calculations can be made. The first paper <A HREF="http://www.iief.com/derivatives.htm" REL="nofollow">on this page</A> talks a bit about measurement problems. As of yet, the data resources required to solve these measurement problems aren't in place.Ajay Shahhttps://www.blogger.com/profile/03835842741008200034noreply@blogger.comtag:blogger.com,1999:blog-19649274.post-1154554662385803282006-08-03T03:07:00.000+05:302006-08-03T03:07:00.000+05:30Along with the information about future expectatio...Along with the information about future expectations that one can gauge from observing such measures (implied vols,yield on iflation indexed bonds etc.), I think there is also a crying need for a revamped and sophisticated statistical data collection system...The nature and breadth of the data releases in an economy like the US is simply fascinating..Retail sales, production numbers, wage releases, reasonably accurate employment numbers, spending on credit cards, home sales, rentals, etc etc..And the great thing is that such data releases are timely, accurate and regular. As a result, market participants have , over a period of time, constructed explanations of the impact of data releases and eagerly look forward to them..<BR/>In contrast, the Indian statistical system looks very crude and incomplete...Andy Mukherjee also had a piece on the "fudging" of export data from time to time(available at bllomberg.com), so there is also a question of credibility..I am not sure if the World Bank/IMF/Rating agencies judge the quality of such economic data released by countries, but the question mark over quality remains...<BR/>But even after thus, there is the problem of the huge unorganized sector of the economy that can never be captured in any data collection exercise..Some people estimate that the unorganized sector is as big as the organized one in terms of output of goods and services! Is there any sensible way to capture whats happening in this sector??Free Thinkerhttps://www.blogger.com/profile/03724960238076985720noreply@blogger.com