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Results tagged with implied-volatility
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user 2916
The volatility of the price of the underlying security that is implied by the market price of an option based on an option pricing model.
15
votes
3
answers
12k
views
Volatility arbitrage - how is the profit extracted?
Is there any paper that describes in detail how the profit is extracted in directional volatility bet (vol arb)? I mean in the case that I bet the realized volatility will be lower than currently impl …
- 355
4
votes
4
answers
1k
views
Trading spot volatility
I am reading a paper that very briefly talks about some volatility arbitrage strategies. It's so brief that I do not exactly understand how it works. It says one of the strategy is based on "short spo …
- 355