Ok i would agree with that if you said the daily vol was 1.2% and then you simply annualize it. But you are saying the daily expected move is 1.2%, which isn't the same as saying the daily vol is 1.2% right ?
another q:
if you have a 1mth straddle you can easily get the breakeven points. You can see what movement in the underlying stock/exchange rate/etc. you need in order to break even, so you could divide that by say 24 trading days (1 month) to see on average the daily movement required to break...
cool thanks for that quick reply!
was also wondering, is there an obvious error at Risk Latte - Volatility Today
under case 3, shouldn't the buying and selling of yen leave a net balance of 2.4million yen i.e. $22,857 USD hedging profit (not the stated 7582 USD) ?
hey all quick q, if the correlation between two underlying securities (say currency pairs) is x%, does that also imply that the correlation between their implied vols is also x% ?