I would like to know if implied volatility ever leads the spot market and if this is true is it all the time or only under certain circumstances? More specifically, in practice can a prediction of absolute movement indicate the direction of the spot price?
It's been suggested that implied volatility rises during bull markets and falls during bearish, as opposed to portending absolute movement. Is there any truth in this?
If I synthesise a future using equivalent-dated options and the ATMF implied volatility rises, will a spread open up between my options position and the forward price?
It's been suggested that implied volatility rises during bull markets and falls during bearish, as opposed to portending absolute movement. Is there any truth in this?
If I synthesise a future using equivalent-dated options and the ATMF implied volatility rises, will a spread open up between my options position and the forward price?
