Surely that would assume low/predictable volatility thought right?
If the probability changes over time that the price might go up and back down for a 6 month period which is bounded inside of a single auction-able period, then the auction would not have ever captured it correctly... Low frequency auctions assumes perfect risk prediction which isn't realistic and comes with large insurance and analysis overheads.
If the probability changes over time that the price might go up and back down for a 6 month period which is bounded inside of a single auction-able period, then the auction would not have ever captured it correctly... Low frequency auctions assumes perfect risk prediction which isn't realistic and comes with large insurance and analysis overheads.