You can calculate the forward volatility between tenor 1, T1, and tenor 2, T2, using the formula below. Consider: T2> T1 Vol T2-T1=...
Hi just wanted to make sure i was correct in my thinking here: If i am short say a 30 delta call, then spot and vols going higher aren't good...
What is exactly meant by the term 'vol of vol' ? Is it the same as dvega/dvol? I have read that to be long a butterfly is to be long 'vol of...
Is there a definitive answer to whether or not under and overhedging are equally risky? We could consider 2 cases, a) continuous hedging or b)...
My university tutor was explaining this to me, was hoping someone could clarify: Say you have a 1year call on usd/jpy (i.e. call on usd, put on...
i'm clear on what these mean when you simply are running an option position without any delta hedging. I understand When you are long gamma...
if you have a daily volatility of say 10% p.a. how do you spread that over say 2 days? It should be the case that spreading it over a longer time...
if you have a 1mth straddle you can easily get the breakeven points. You can see what movement in the underlying stock/exchange rate/etc. you need...
just wondering if two underlyings have the same correlation (in terms of price), do their IV's also have that same correlation? also, with:...
hey all, posted this in forex forums but seems this area is better: if I have say 1month implied vol of AUD/USD is 9.4 1month implied vol of...
hey all, quick question if: 1month implied vol of AUD/USD is 9.4 1month implied vol of EUR/USD is 9.3 and correlation between these 2 vols is...
Is a strong currency "better" for a particular economy? Obviously, good for consumers and importers but worse for exporters - but, overall, can we...
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