Realised volatility
Dispersion trades suffer in coronavirus selloff
Losses put at roughly $150m – even before markets tanked on March 9
Who killed FX volatility?
Beyond central bank policy, traders see a range of hidden structural factors at work
Bank disruptors: Crédit Ag taps AI to lure swaptions business
Machine learning model predicts client demand with high accuracy, giving traders an edge in pricing
Volatility becalmed, trade in forex options plummets
With central banks in tandem on policy, market churn has lessened considerably, and trading as well
Engle: rise in geopolitical risks may be overestimated
Risk USA: Nobel laureate’s new ‘Geovol’ model suggests geopolitical risk no higher than during past 20 years
Dynamic volatility management: from conditional volatility to realized volatility
In this paper, the authors present a multiperiod portfolio management strategy that can be used to directly manage the realized volatility over a long time horizon.
Recursive estimation of the exponentially weighted moving average model
The aim of this paper is twofold: (i) to introduce two recursive estimation algorithms suitable for the EWMA process that are applicable for routine volatility predictions, and (ii) to investigate their prediction ability by comparing them with other…
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Don’t count on vol regime change – BlackRock quant
“This time next year volatility will most likely be low,” says Fishwick
Month of higher vol spurs equity derivatives trading
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Old dispersion product signals new vol regime
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
Now casting: options traders needed for disaster movie
Gamma deserves share of spotlight in volatility drama
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Market mayhem hurts relative-value vol trades
Losses estimated at close to $500 million as US index volatility spikes
Review of 2017: All sorts of volatility, bar one
Markets were oddly calm this year, while everything else was in motion
A quick tool to forecast value-at-risk using implied and realized volatilities
The authors propose a naive model to forecast ex ante value-at-risk (VaR), using a shrinkage estimator between realized volatility estimated on past return time series as well as implied volatility quoted in the market.
Cutting edge introduction: Monetising out-of-the-money
Out-of-the-money options contain a hidden premium, says one quant
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Time for a timer
Time for a timer
Volatility to remain elevated in 2012, says Barclays Capital
Volatility levels in equity markets in 2012 will be similar to those experienced in 2011, according to Barclays Capital
House of the year
House of the year
Volatility of volatility spike drives options liquidity squeeze
Volatility of volatility spike drives options liquidity squeeze
BarCap offers medium-term volatility in Ucits III form
BarCap offers medium-term volatility in Ucits III form