Implied volatility
Volatility forecasting: the role of internet search activity and implied volatility
In this study, the authors search for a benchmark model with available market-based predictors to evaluate the net contribution of internet search activity data in forecasting volatility. The paper conducts in-sample analysis and out-of-sample…
Volatility becalmed, trade in forex options plummets
With central banks in tandem on policy, market churn has lessened considerably, and trading as well
The Chebyshev method for the implied volatility
In this paper, the authors propose a bivariate interpolation of the implied volatility surface based on Chebyshev polynomials. This yields a closed-form approximation of the implied volatility, which is easy to implement and to maintain.
Search for alpha in a volatile world
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
How AI could tear up risk modelling canon
BlackRock, MSCI, LFIS among firms looking to replace traditional, linear risk models
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
Podcast: Ronn on using a financial-economics approach to forecast crude oil spot prices
Professor of finance talks about using equity, index and crude oil options to forecast spot prices
Fundamentals fuelling smart beta in China
As Chinese equity markets mature and become increasingly driven by fundamentals, the time is right for international investors to invest in smart beta strategies, say Vincent Yam, head of trading, and Weiwei Wang, senior derivatives trader at Guotai…
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
FX traders dump short-dated options on Brexit mire
Attention turns to long-dated positions after failed no-confidence vote
You don’t need to sacrifice accuracy for flexibility
BAML quant proposes option pricing model that softens conflict between the two properties
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Korea autocall dealers brace for losses but no 2015 repeat
Traders dampen fears of hedging wipeout despite 20% drop in HSCEI underlying index
Trade war threatens Korea autocall losses
Dealers warn of $240 million in hedging losses if HSCEI index slides further
Discrete time stochastic volatility
Quant proposes faster model to price arbitrage-free swaptions
Reflections on recent volatility
This paper deals with the unprecedented equity volatility in the second week of February 2018. The paper recaps the week, places the market movement in a historical context, discusses how some traders and funds were affected and offers a few guesses as…
Short-vol products pose new risk to investors, experts warn
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
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