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
Resources
Click on menu to the left for the subpages with numbers, notes and comments on derivatives and structured products. NOTE: you will notice the numbers have not been updated for a while - sorry, but we are snowed under with work.
Article on A.T.
We don't normally have time to publish, but were recently invited to contribute a paper to Automated Trader magazine
You can download the PDF (not for commercial-replication) and the spreadsheets with the calculations and examples in the web-folder available to EQF standard members: if needed register (it's quick and free) then go to My Account (link top right).
Title: Trading realised variance using listed vanillas
Summary:
Listed futures on VIX and its cousins give exposure to implied variance, but getting exposure to realised variance is very different, and has usually been the realm of OTC variance swaps. Here we examine strategies to trade the realised using only listed instruments, with simple time-independent formulas not requiring models such as Black Scholes.
Technical Abstract:
We defi ne a family of generalized measures of realized variance which may be captured by combining a portfolio of listed options with a model-independent trading strategy on the futures, leading to time-independent formulas for deltas simpler than Black-Scholes. We quantify sources of error, and remark on practicalities, trading frequency, and extensions. Among the examples discussed are normal variance, corridor variance, and also the `frequency swap' which only requires a pure delta strategy.