Deviation levels:
In connection with your formula: I’m confused about how the IV over several months translates to intraday. Several months implies longer term than intraday.
4 IV’s from 4 specific options over (up to 4 months) (up to 16 IV numbers are factored in on each instrument and beta weighted). The goal is to get the entire consensus of the market and to smooth out volatility spikes etc… This provides a more accurate IV that we then use to factor into the deviation formula.
The proprietary formula used was specifically designed for intraday trading.
We do the math…at the end of the day it works… enjoy
