Recent video from Tasty Trade on volatility dispersion trading. I think they quite downplayed the complexity of the trade, they don't mention proper weighting design to achieve either correlation or covariance mispricing, and their delta-based approach makes sense only for ITM options.
Other correlation resources:
Fundamental Relationship Between An Index's Volatility And The Correlation And Average Volatility Of Its Components, by Sebastien Bossu, Yi Gu
Dispersion Trading in German Option Market, by Jonas Lisauskas
Studying the Properties of the Correlation Trades, by Cayetano Gea Carrasco
Analysis and Development Of Correlation Arbitrage Strategies on Equities, Yujin Chloe Choi
and best for the last Dispersion Trading Reading List, from condoroptions.com
Subscribe to:
Post Comments (Atom)
Weekly market report
Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...
-
As I am sure all of you know Russia has began a full scale war against my home country Ukraine. Please make no mistake - Putin's goal ...
-
Yesterday I found another piece of ignorance on Medium: Stop Watching The VIX, Just Make Your Own tl;dr : Just use ATM straddles 🤦 This is...
-
The biggest news this week is that Deribit is moving ahead with launching futures on their DVOL Bitcoin volatility index. Like with every ne...
I like your blog. However, white font on black background is tough on the eyes.
ReplyDeleteWould you mind adjusting?
Thanks .. G
I prefer white on black, and no one else has complained ... so, respectfully, no.
ReplyDelete