Implied volatility
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
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
Asia hours surge complicates FX options market-making
Late tariff announcements in US trigger hedging headaches during less-liquid Asia sessions
‘Trump slump’ hedges rise on rate cut fears
One dealer notes fivefold increase in number of clients hedging against possibility of faster rate cuts
Disappearing dealer gamma spurs wild stock swings
Stock market selloff leaves dealers perilously close to peak short gamma positioning
Podcast: Lyudmil Zyapkov on the relativity of volatility
BofA quant’s new volatility model combines gamma processes and fractional Brownian motion
QIS 3.0 ‘bonanza’: hedge funds pivot from options to swaps
Pod-level scramble for max-loss exposure gives way to central risk books seeking overlays
Volatility selling is down, but not out
Shrinking risk premiums could end cycle of vol suppression, traders say – but not just yet
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling
The power of neural networks in stochastic volatility modeling
The authors apply stochastic volatility models to real-world data and demonstrate how effectively the models calibrate a range of options.
Option market-making and vol arbitrage
The agent’s view is factored in to a realised-vs-implied vol model
AI and Trump tariffs spur hyped-up dispersion trade
Popular vol strategy pays off in January despite highest entry costs on record
Autocall curbs hit long-dated Nikkei and HSCEI options
Collapsing Asia structured products inventory saps market-makers of long-dated vol supply
Why vol markets shrugged off Nvidia rout
Gamma, autocalls and stock dispersion helped prevent a broader market meltdown
Earnings moves and pre-earnings implied volatility
The authors investigate the relationship between return realizations and pre-earnings implied volatility, finding the distribution of returns over earnings windows to be symmetrical.
Quant of the year: Julien Guyon
Risk Awards 2025: Volatility modeller par excellence (and football fan) achieved breakthrough with joint calibration of S&P and Vix options
Rising star in quant finance: Milena Vuletić
Risk Awards 2025: Machine learning-based volatility model confounds sceptics
Hedge funds take profit on vol trades with Trump win
FX volatility drops sharply as positions unwind; rates market sees mixed reaction