# Questions tagged [volatility]

A measure of the variation in price over time. Also a measure of the risk of a financial instrument.

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### What does it mean to "sell skew to buy vol"? [closed]

A bit confused here. Skew can mean so many different things. It can mean the different IVs along the strike axis (sometimes called vertical skew), can mean the IVs along term structure (sometimes ...
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### Deriving strike from Delta

According to the following thread: How can I calculate the strike price or implied volatility from a given delta? To back out some strike given some Delta, you simply use realized vol (plus a few ...
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### Deriving vol of vol from volatility futures price

From Colin Bennet's trading volatility (pg 117), he says: "A forward on a volatility future is short vol of vol. This means it is possible to back out the implied vol of vol from the price of ...
1 vote
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### Local volatility model for autocallable pricing

I am working on a pricer for an Autocallable product in Python. Coupons are accumulated at each observation and paid once the AC barrier is reached. At maturity, short down-and-in put. I am trying to ...
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1 vote
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### Best Way To Compute the Volatility Risk Premium

I'm trying to come up with a measure for the volatility risk premium (VRP) for a strategy I want to implement, but I'm not entirely sure how to proceed. My situation is as follows. The underlying is ...
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### When does the underlying become the derivative?

Since options contracts are created by open interest in the contract, it is conceivable that the notional of the total options contracts can exceed the value of the underlying. If that happens, does ...
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1 vote
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### Volatility Options

I'm working on a scenario needs to price an option on volatility. After googling, there is no clear relevants in this field. VIX options pricing is one way, while seems it takes the VIX (a volatility) ...
1 vote
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### How would one construct a volatility surface given only the spot price?

The traditional way to build a volatility surface is to pull options data and then do some form of interpolation. What happens if there is no existing options market and only a spot market for asset X?...
1 vote
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### Why do VIX spot and futures converge if there is no cash and carry arbitrage?

Since VIX spot is not tradable, why do the futures and spot converge @ expiration? By what mechanism does this occur if arbitrage is not one of them?
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### Relation between historical volatility and ATR?

https://help.tc2000.com/m/69445/l/754439-historical-volatility-ratio "Historical volatility is calculated by taking the standard deviation of the natural log of the ratio of consecutive closing ...
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### Transformation of local volatility model

Assume we have an SDE $$dX_t=\mu(X_t)dt + \sigma(X_t)dW_t$$ where $\sigma>0$ and $W_t$ is a Wiener process. Is there a transformation $y(X_t)$ that will make the dynamics of the transformed process ...
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### How to determine which realized volatility estimator should be used?

There are so many realized measure have been invented in the past years like TSRV, MSRV, KRVTH, KRVC... But how to choose them in practice? I know we cannot find the "estimation error" of ...
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