Berkshire Historical IV data

[rrr12345]

@tedthedog

But for the analysis suggested above, you can’t take IV from the trend line determined from all the data i.e.including data in the future of the date for which you’re determining IV, because that requires a crystal ball. You need to calculate the trendline using all data to the past of each date of interest.

That’s true if one is making a real time IV estimate, but there’s no reason why one can’t go back later and revise an IV estimate using data before and after the given point in time.

@tedthedog

Is the relation between IV and future return tighter than Book and forward return?

It’s hard to say without making the two forward return plots. For the period Dec 1999 to Jun 2022 it may not make much difference. The scatter results more from changes in P/BV and P/IV than it does from changes in BV/share and IV/share growth rates.