[kansface]

Thanks for the explanation! The assumption that volatility is a random walk strikes me as a very poor model when shit goes south. I would guess people use more sophisticated models in practice? Do you know of any good books on the subject?

[qihqi]

"Volatility is the wrong number to be plugged into the wrong formula (BS) in hope to get the right answer."

[knughit]

You just figured out how the 2008 crash happened :-)