Implied volatility
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
The impact of unconventional monetary policy shocks on the crude oil futures market
This paper examines how West Texas Intermediate (WTI) crude oil price returns and volatilities respond to changes in US monetary policy.
Market mayhem hurts relative-value vol trades
Losses estimated at close to $500 million as US index volatility spikes
Bloomberg testing use of image recognition in volatility trading
Computers could be used to spot kinks in volatility surfaces
A quick tool to forecast value-at-risk using implied and realized volatilities
The authors propose a naive model to forecast ex ante value-at-risk (VaR), using a shrinkage estimator between realized volatility estimated on past return time series as well as implied volatility quoted in the market.
‘Hot-start’ initialisation of the Heston model
Serguei Mechkov initialises Heston model’s parameters using probability distributions
Volatility traders wrestle with digital risk of Brexit
Skew on major indexes leaps after market wakes up to risks of UK's referendum
Sliding HSCEI threatens fresh autocallable losses
Banks nervy as index approaches key options barrier
Cutting edge introduction: Monetising out-of-the-money
Out-of-the-money options contain a hidden premium, says one quant
Overcrowding puts low volatility indexes under pressure
Inflows increasing correlations and reducing performance, say traders
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Quantized calibration in local volatility
Quantization is applied to price vanilla and barrier options
Oil-linked structured products: investors take the plunge
Price drop and volatility spike drives interest in oil-linked structures
Heston model: shifting on the volatility surface
Stochastic volatility model combining Heston vol model and CIR++
'Umbrella revolution' drives 33% spike in Hong Kong vol
Volatility spikes from 15 to 20 points after pro-democracy protests
China to launch series of volatility indexes by year-end
Volatility benchmarks will follow launch of equity options later in 2014
Arcanum profits from volatility with equity index options
But rejects price efficiency of US index options trading
Investors look to profit from record low equity volatility
Hedge funds holding their nerve in game of volatility limbo
Korea retail flows push China volatility to a record low
Volatility is trading at low levels on HSCEI despite China fears
PBoC behind RMB depreciation
China central bank acts to stimulate two-way trading
Launch of India Vix futures driven by institutional investor demand
National Stock Exchange of India about to launch the fourth Asian equity volatility index this week