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Is Nassim Taleb wrong about his DdeltaDvol dynamics in his Dynamic Hedging book?

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What is the expected return of a strangle given it's IV and realized volatility at expiration?

24 votes
6 answers
29k views

What is the implied volatility skew?

5 votes
2 answers
515 views

What are popular metrics for Option Skew?

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0 answers
37 views

MC with transition kernels

3 votes
1 answer
98 views

Does skew flatten with a decline in volatility?

1 vote
2 answers
147 views

Calendar arbitrage in implied vol grid with discrete and proportional dividends

3 votes
0 answers
77 views

Popular treasury futures bond options volatility surface model/s

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1 answer
310 views

Eurodollar futures volatility

3 votes
0 answers
87 views

Options skew: when is a perfect fit desirable?

1 vote
1 answer
100 views

How to interpolate volatility's skew using spline in Python

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84 views

How are SOFR implied vols calculated? Are they normal or log normal?

6 votes
3 answers
580 views

Is variance swap long volatility of volatility?

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Why is Implied Volatility more important than skew for put spread pricing?

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