29.09.2016
Refreshed some fitting pics
Uploaded DBK, AAPL pics of volsurface fits today. Aggregated fitting pics in their own folder.
07.09.2016
New Article on Variance Strategies
"Trading realised variance using listed vanillas" recently published - see more and download here
Recent Blog Entries
In the big scheme of things...No summer panic in the major volsurfacesOptions traders... the last of the perma-bears?Implied Probabilities and Structured Products – a rational approachDavid Rosenberg investment outlook
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Derivatives
In the big scheme of things...
Posted by Alberto Cherubini - 17 Dec 2014
... this might matter less than oil price, no doubt. And yes, it's obscure... but a remarkable structural change is happening in vol-surfaces: the time-honoured "square root of T" rule of thumb for skew is another casualty of the "new normal". There are practical consequences, e.g. on structured products.
No summer panic in the major volsurfaces
Posted by Alberto Cherubini - 28 Aug 2013
Summer 2013 - What EM crisis?
Europe and US equity markets are flat or small down on a month ago.
Implied vols and skews have reacted a tad more, but nothing scary... more worrying is the persistently low volumes.