All Questions
Tagged with implied-volatility option-strategies
9 questions
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How do i calculate breakeven black scholes volatility for 12 monthly option to hedge a yearly option?
If I own a 1 year call option of 30 black scholes implied vol and i want to hedge it by periodically selling 12 monthly option of same strike, how can i calculate minimum vol needed on monthly option ...
- 1
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71
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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
2
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145
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question on risk reversal P/L example in Euan Sinclair's book 'positional option trading'
I am reading Euan's book, ‘positional option trading’ and have a question about risk reversal P/L example. Here is description 'Consider a 1-month risk reversal on a \$100 stock. The 20-delta put (91 ...
- 21
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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
3
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3
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692
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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 ...
- 341
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2
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Gamma Pnl vs Vega Pnl
Why does Gamma Pnl have exposure to realised volatility, but Vega Pnl only has exposure to implied volatility? I am confused as to why gamma pnl is affected (more) by IV and why vega pnl isnt affected ...
- 2,662
7
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4
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890
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Implied volatility of a complex options position
Assume I have a "complex" options position like a straddle, strangle, or iron condor. In other words, several options traded together as a single position against one underlying asset (not a basket ...
- 2,126
6
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Why a calendar spread is a preferred strategy in a low volatility period
What is it about a calendar spreads opposed to other spreads (e.g vertical spread) that makes it such a popular strategy for a period of low implied volatility?
Is it that when low volatility turns ...
- 1,404
10
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How to calculate the most realistic historical option prices with additional publicly available parameters
This is a follow up question of this one.
My aim is to create the most realistic historical option prices possible with publicly available data. I want to do this for backtesting purposes.
The ...
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