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Volatility Trading.pdf
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Volatility Trading - Trading Volatility, Term Structure and Skrew
Colin Bennett
CONTENTS
DIRECTIONAL VOLATILITY TRADING ... 9
Option trading in practice
.... 10Maintenance of option positions
... 17Call overwriting
.... 20Protection strategies using options
.... 26Option structures trading
... 32VOLATILITY AND CORRELATION TRADING...... 37
Volatility trading using options
..38Variance is the key, not volatility
..47Volatility, variance and gamma swaps
.... 50Options on variance
... 62Correlation trading
.. 66Dividend volatility trading
.. 80OPPORTUNITIES, IMBALANCES AND MYTHS.. 83
Overpricing of vol is partly an illusion
.... 84Long volatility is a poor equity hedge
..86Variable annuity hedging lifts long-term vol
. 89Structured products vicious circle
.... 91FORWARD STARTING PRODUCTS AND LIGHT EXOTICS.. 95
Forward starting products
..... 96Barrier options
... 104Worst-of/best-of options
..... 108Outperformance options
... 110Look-back options
.... 112Contingent premium options
... 113Composite and quanto options
...... 114ADVANCED VOLATILITY TRADING..... 117
Relative value trading
..118Trading earnings announcements/jumps
...... 124Stretching Black-Scholes assumptions
.... 128SKEW AND TERM STRUCTURE TRADING .... 137
Skew and term structure are linked
.... 138Square root of time rule can compare different term structures and skews
..... 144How to measure skew and smile
...... 149Skew trading
...... 154APPENDIX .... 171
Local volatility
... 172Measuring historical volatility
... 174Proof variance swaps can be hedged by log contract (=1/K
2).. 184Modelling volatility surfaces
.... 186Black-Scholes formula
... 189Greeks and their meaning
. 190Advanced (practical or shadow) Greeks
... 194Shorting stock by borrowing shares
.. 197Sortino ratio
...... 200Capital structure arbitrage..201
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