Derivatives

shivaji hari

Standard deviation is a measure of how much the daily changes deviate from the average daily change , in this case is 2000 deviate from 10000 to 8000 or 10000 to 12000 . so 1standard deviation means approximately 68% of all data points fall within one SD of mean . in this case while calculating initial margin = daily absolute change( mean ) + 3 SD if incase we would take SD instead of 3 SD then initial margin is would be 12000 it means 68 % a chances fall margin between 10000 to 12000 . it means indirectly can not cover potential losses that might occur in a single day with a given level of confidence. if take 3SD instead of SD , it means 99.7% fall within three standard deviation . so we are using 3SD for potential range outcome that covers a high percentage of potential price movements . in this case maximum potential out come would be 10000-6000= 4000 or 10000+6000 = 16000 ( between 4000 to 16000 ). sir please correct me if i am wrong

shivaji hari

Standard deviation is a measure of how much the daily changes deviate from the average daily change , in this case is 2000 deviate from 10000 to 8000 or 10000 to 12000 . so 1standard deviation means approximately 68% of all data points fall within one SD of mean . in this case while calculating initial margin = daily absolute change( mean ) + 3 SD if incase we would take SD instead of 3 SD then initial margin is would be 12000 it means 68 % a chances fall margin between 10000 to 12000 . it means indirectly can not cover potential losses that might occur in a single day with a given level of confidence. if take 3SD instead of SD , it means 99.7% fall within three standard deviation . so we are using 3SD for potential range outcome that covers a high percentage of potential price movements . in this case maximum potential out come would be 10000-6000= 4000 or 10000+6000 = 16000 ( between 4000 to 16000 ). sir please correct me if i am wrong