All Questions
Tagged with option-strategies volatility
9
questions
0
votes
2
answers
183
views
How to conclude which option is overpriced (by using implied volatility)
I have a small question regarding how to conclude which option is more overpriced?
See the following table
Option Theoretical Value
Option Price
Option Implied Volatility
7.00
8.00
26%
6.00
6.75
28%...
1
vote
0
answers
64
views
We can forecast the direction of (constant maturity) implied vol of various indices well. Is that useful?
We've been financial building ML models for years, and have multiple portfolios live - but we're new to the volatility space, none of us are options traders.
How could we effectively use implied vol ...
- 111
1
vote
0
answers
92
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What's a sensible way to measure correlation in the volatility surface?
Lets say I construct a parametrisation of the volatility surface that lets me infer dynamics i.e correlation between strike vol.
Is computing the sample correlation (after controlling for spot-vol ...
- 11
5
votes
0
answers
1k
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How to implement an “Active Long Volatility” Strategy?
The research paper "The Allegory of the Hawk and Serpent" describes an asset allocation referred to as the "Dragon" Portfolio, which allocates 18% to "active long volatility&...
3
votes
3
answers
645
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Are there any books/articles on how to use options to be long volatility (implied or realized)? [duplicate]
Given the market turmoil of late I have become fixated with this idea of using options to be long volatility (realised and implied). However, I dont know where to start, what to read, who to follow ...
- 321
-1
votes
2
answers
497
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Positive PnL with long volatility strategy
Suppose I was interested in longing volatility. Suppose I bought a long straddle today which expires in 3 months. Suppose that volatility was very high in those 3 months, however, the stock expires at ...
- 503
2
votes
0
answers
441
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Trading strategies for increased realized volatility
Suppose once every 2-3 weeks I have a way to select a few equities that are likely to exhibit higher realized volatility in the future month (relative to the past month). Historically, the average ...
- 21
21
votes
2
answers
5k
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statistical arbitrage option overlay strategies / volatility trading
Here's an interesting trading puzzle that I would love to get the community's input on.
Let's say there exists an alpha signal that does a good job of sorting equities expected excess returns over ...
- 13.5k
36
votes
5
answers
19k
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Skew arbitrage: How can you realize the skewness of the underlying?
It's not clear to me how to realize skewness. In other words, how do you implement skew arbitrage? There seems to be no well-known recipe like in volatility arbitrage.
Volatility arbitrage (or vol ...
- 735