I'm trying to determine a reasonable amount of SPX short deltas to hedge a short vol position. To clarify, do you mean regress VIX against M1 and...
I've looked into the local vol model, and it's one way to do the "comprehensive approach" I described in my OP. You would use the local vol model...
The log price changes are normally distributed, not the price itself. If IV is 100%, then the implied annual 1SD log price change would be 1. If...
While it's true that regressing VIX against 30D realized vol has much more explanatory power (I got an R^2 of 0.9 using close-to-close and data...
The simple linear model actually has decent explanatory power, but regressing changes in VIX against changes in realized vol does not, although I...
Can you elaborate on what you mean by "a better model than implied volatility"? I assume it means a model that's not Black Scholes.
Adding a quadratic term to the model is insignificant (R^2 is virtually unchanged). I understand that, to some extent, VIX has a mind of its own...
This is what I'm talking about when I say that the linear model cannot capture non-linearities. On Oct 11 the VIX hit a high of around 29. On Oct...
I'm looking for a model that computes the expected VIX based on SPX price moves. For instance, SPX is currently at around 2650, and VIX is at 24....
This tiny hedge fund made 8600% buying SVXY deep OTM puts (these were much cheaper than VIX calls on a relative basis). It's unlikely that a...
The simple fact that his fund has managed to survive 10 years running a "crisis alpha" strategy in a bull market indicates they're doing something...
Surprised no one has pointed out that long 100 shares SPY + 1 LEAP put is synthetically equivalent to buying 1 LEAP call at the same strike. You...
The probability theory is really just for getting it published in a fancy journal. You can get by without needing any of it. It's usually...
I have no idea of their returns. Just found the report interesting.
There are some funds, like Artemis capital, that maintain a net long vol exposure with zero/positive carry in low vol environments. This report...
It's on page 126 of the book. As an example, consider ADBE, which has earnings on Sep 18. The implied vols of all expirations from Sep 21 to Nov...
The method I'm using only relies on this formula: IV^2 = 1/DTE * EV^2 + (1 - 1/DTE)*AV^2 We're assuming that the implied variance is the...
Since we can't actually predict what the post-jump implied vol will be, wouldn't our best estimate be the current ambient vol i.e. the portion of...
I've been looking for a good solution to this problem myself. The approach I use is similar to the "term structure" method you've mentioned, but...
I don't trade VIX futures (yet), so I have no assumptions on what a normal curve looks like. Just wanted to get some insight on how these trades...
Separate names with a comma.