The November issue of Expiring Monthly was published this morning. As a founder and contributing editor I’m obviously rather biased, but I think the magazine has really established itself as one of the best places to look for intermediate and advanced coverage of the world of options and volatility. Here’s the November table of contents:
I’m really happy to welcome Andrew Giovinazzi of Aqumin and Option Pit as a regular contributor, and he has the feature article this month. There is also a great review by Steve LeCompte of CXO Advisory of some important academic research on the premium evident in equity variance swaps.
The usual suspects have plenty to say, too: my column looks at the information gleaned from “up” and “down” estimates of volatility, wherein we calculate a zero-mean historical vol estimate looking only at days when returns are positive and negative. I also review a delta-hedged short call trade on SINA to illustrate the path dependency of delta-hedged option selling. Finally, this issue includes an interview with me about VXH and some other favorite topics. Mark Sebastian follows up on a previously discussed trade to show the importance of weighted vega, and Mark also follows up on his challenge to the options exchanges in the Back Page. Bill Luby looks at four volatility themes and how they have changed, and as always the three of us answer your questions in the Q&A section.
We’re always looking for talented trader-writers (a rare breed) and for topic ideas and notable research to dissect, so do get in touch if you have any suggestions.
Also, if you don’t already subscribe, go subscribe.