Implied volatility
Forecasting realized volatility with the implied volatility surface: an image-based approach
This paper investigates methods to extract information about an asset’s future risk from the entire implied volatility surface, converting the IVS into a standardized matrix and model it with an image-based approach
Traders revive emerging market carry trades on vol drop
Investors eye high-yield Latin America currencies as implied volatility falls
Capturing smile dynamics with the quintic volatility model: SPX, SSR and VIX
A new model captures the term structure of SPX & VIX implied volatilities, ATM skew, and the skew-stickiness ratio
FX options traders lost in Iran fog
Headline ‘ping-pong’ saps hedge funds’ conviction, though pockets of vol selling have re-emerged
Has the Iran conflict made FX untradable?
FX options volumes jump despite high costs and short-lived opportunities
How the Iran war wreaked havoc on consensus US rates trades
Hedge fund steepeners, swap spreads and vol-selling strategies were hit as conflict forced stop-outs during March
Iran selloff wipes out dispersion profits
Popular indexes down 5% in March, despite low realised correlation; some short bets see gains
Beyond epicycles: models must describe markets, not just fit them
Modelling needs to embrace complexity in volatility patterns, says Jean-Philippe Bouchaud
A smooth fit for complex volatility surfaces
Quant shows a new way to capture implied vol with optimisers
Iran conflict forces EM carry trade unwinds
Surging oil prices, rising vol and dollar flight triggered stop-outs of emerging market positions, say dealers
After market whipsaws, banks put new twist on QIS options
Variable strike options aim to catch recoveries after volatility spikes
Convex volatility interpolation
The modelling of implied volatility surfaces is reframed as an optimisation problem
Neural networks unleashed: joint SPX/VIX calibration has never been faster
SPX and VIX options can be jointly calibrated in real time with deep neural networks
The options experts who think vol selling is a broken trade
Some say the equity volatility risk premium has vanished, others say it comes and goes
Institutional investors take profit on gold trades
Hedge funds trimmed longs after gold rally and triggered massive market selloff
Low-vol gold rush points to further upside
Options markets see no scramble to chase metal higher despite 43% year-to-date rally
Political turmoil rattles Turkish lira carry trade
Echoes of March crackdown that sparked market rout leave traders on alert
Do earnings events reset the trading clock?
This paper uses a large number of earnings events from which the subset of outcomes for which the price strongly increased or declined into the earnings date.
Turn of the skew: FX options dealers balance fragile market
Calls-versus-puts demand flips wildly in response to geopolitical events
Simulation of Heston made simple
A new way to apply the classic stochastic volatility model is presented
Trump tariffs sent FX options traders on a wild ride
As US assets sold off, dealers found themselves on the front lines of a hedging scramble