follow us on LinkedIn
Uploaded DBK, AAPL pics of volsurface fits today. Aggregated fitting pics in their own folder.
"Trading realised variance using listed vanillas" recently published - see more and download here
Read all news »


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.

Options traders... the last of the perma-bears?

Posted by Alberto Cherubini - 30 Mar 2013
Let's dig a little deeper...

Implied Probabilities and Structured Products – a rational approach

Posted by Alberto Cherubini - 24 Mar 2013
The time honoured bookie's way - rocket scientists not needed.

Posted by Alberto Cherubini - 18 Jan 2013

David Rosenberg at Gluskin Sheff is always interesting to read. His outlook for 2013 is available here (look at the links towards the bottom.

Nothing to do with derivatives nor structured products, really, but valuable for longer term investors. 

info@eqfltd.com | +44 (020) 3793 5146 | Sitemap  |  Terms & Conditions  |  Privacy Policy