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Selling volatility, day by day · Part 3 of 3
A stock at $100 has five daily log returns of +1%, −2%, +1.5%, −0.5% and 0%. Measure realised volatility with a zero mean, dividing by the number of returns, and annualise with 252 days.
What size of move on the sixth day, in per cent, would wipe out the five-day profit, including that day’s theta?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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