I have been doing some analysis of non normal distribution of 1 month movements in the indices. Using a rolling 30 day window, I have compared closes and divided the results into percentage moves.
I have done this for the Dax and FTSE over a 10 year period and the Dax shows a very fat tail on the downside. Its almost like an S on its side. The FTSE shows a more normal distribution but still not totally normal.
I was wondering if anyone else has done this sort of analysis on other indices at all ?
If you trade the indices what do you trade options on and why?
Thanks
Colin
BTW I consider this Dax knowledge an edge knowing never to short Dax puts !!
I have done this for the Dax and FTSE over a 10 year period and the Dax shows a very fat tail on the downside. Its almost like an S on its side. The FTSE shows a more normal distribution but still not totally normal.
I was wondering if anyone else has done this sort of analysis on other indices at all ?
If you trade the indices what do you trade options on and why?
Thanks
Colin
BTW I consider this Dax knowledge an edge knowing never to short Dax puts !!