Questions tagged [dispersion]

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How do I measure the "dispersions" of a group of stock returns

I have $n$ stock return time series $X_1, X_2, ... X_n$. I want to measure how much they have "dispersed" over time. i.e. are they moving "more together" in 2023, comparing to 2022....
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CBOE dispersion index formula

I came across the CBOE white paper Cboe S&P 500 Dispersion Index Methodology. The formula in Subsection Index Construction/Outline of the Dispersion Index Methodology on page 4 that defines the ...
Hans's user avatar
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Basket variance with correlation 1

I'm reading the famous nuclear phynance primer on dispersion trading and finding difficulty in understanding the author's simplification for the variance of a basket with correlation 1. See below: I ...
eslate's user avatar
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Which is more valuable: a basket of optimal stopping problems or an optimal stopping problem on a basket?

Fidelity now offers direct indexing for individuals for 40 bps per year, as well as zero-fee total market index funds. Which one should I dollar cost average (I.e., invest $x every n-th month) in? ...
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Dispersion copula

Linear correlation controls two aspects : that of level (Basket options) and that of dispersion (spread options). Is there a copula that has two separate parameters for each?
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Dispersion Trading with a 2 component index

I have a dispersion question I need help with...An index SPY has only 2 components - AAPL and AMZN. We are given the implied volatility of SPY and AAPL as well as the correlation between the 2 assets. ...
Jordan Wrong's user avatar
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Literature and Intro to Dispersion Trading

I am familiar with the basic idea of the dispersion trade i.e. index vol vs constituent vol and implied correlation. I am wondering if there are any standard resources (pdfs, books, presentations) ...
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