I am looking for a product that can replicate a variance swap. I want to trade realized vol vs implied vol for a given term. I can do this by...
I am going to start a calendar ONLY journal. Most will be a 1:1 long calendar. The strategy will be finding value in the term structure. Calendars...
I am currently reading his journals and his strategy seems reasonably simple. Buy 121/132 flies on vol spikes cover the position at around 20 %...
When an asset moves higher is it excess demand or over supply? The reason why I am asking is, I want to know whose lunch I am eating. Let's look...
As I attempt to learn how to trade the term structure, a lot of my research topics are on calendar spreads. I have found a few good articles on...
Research shows that risk arb spreads have been decreasing since the 90's. This makes sense due to speed of information and interest rates...
This is a bit more mathematical, but I know there are some smart guys on here. ATM straddle price = sqrt(2/pi) * S * vol * sqrt(t/T). where t =...
It seems like a reasonable strategy to buy new all time highs on good volume on smaller companies with a stop below the previous day. For example...
In liquid underlying's the price of the options before earnings are driven by supply and demand. Let's say a non liquid underlying before...
Hey everyone, when we look at the correlation between price and vol it is very close to 1. So if I think vol will expand I should also beleive the...
When they say vol moves in root time. If one month AAPL vol is 17% what should the 2 month vol be? What is the calculation for this? Thanks in advance
I am working on some earning trades and I am calculating jump vol as followed in this photo. However am I right in writing, jumpvol *...
has anyone done a study to find which stocks/etfs/futures usually have realized - implied greater than 0? For example, low beta stocks usually...
From experience which is the most efficient. I always find the GARCH family models over estimate realized vol. Heres a great website to use for...
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