Tag Archive | "expiring monthly"

A Quantitative Look at Volatility Skew

Thursday, March 15, 2012

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Implied volatility (IV) skew is one of the most important and interesting aspects of listed options. IV skew typically refers to the differences in the implied volatilities of options in the same expiration cycle with different strike prices. There have been many attempts in the academic literature to model the behavior of changes in skew, but the interpretation of skew information by traders is still done largely on a qualitative and ad hoc basis. In “Quantifiable Implied Volatility Skew,”

Expiring Monthly Guest Contributors

Monday, May 30, 2011

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Expiring Monthly has published some great articles in recent months, many from guest contributors. In this post, I’d like to highlight some of those recent guest contributions. The May issue was published last week and is available now for subscribers – cf. my colleague Bill’s May recap. Chris McKhann (optionMONSTER) wrote a column in the January 2011 issue, “The Vega Calendar Trap,” on how the vega of a given calendar or diagonal spread can be deceiving, and…

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Jared Woodard specializes in trading volatility as an asset class. With over a decade of experience trading options and other volatility products ... Read More

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