collar shopping
High rates and vols make option hedges cheap
Workflows
Introducing Workflows
Introducing Collar Workflows
Applying the volatility lens to collar trade intents
Introducing Defensive Workflows
Applying the volatility lens to defensive trade intents
Introducing Income Workflows
Applying the volatility lens to Income workflows
hedging is for gardeners
an example of a market-maker decision to not hedge
delta-hedged risk reversals
The Attribution Visualizer now supports multi-leg delta-hedged trades
hurst
time scaling assumptions
A devilish question for option sellers: Which VRP is higher?
Measuring volatility premiums
a cleaner way to compute seasonal vol
another way to bucket time
does revenue seasonality translate to vol seasonality?
linking volatility to fundamentals
how high implied vol works for and against you
when high implied vols is a gift or a curse
how a high implied vol can be cheap
Volatility is not a single measure
options policework
practice separating outcome from process
the bias of hedging on implied delta
deltas depend on vols
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