Stocks & Commodities V. 33:1 (28-33): Modeling With Daily Implied Volatility by Massimiliano Scorpio
Product Description
Modeling With Daily Implied Volatility by Massimiliano Scorpio
The Skew Of Things To Come
In this first part of a two-part series, find out how incorporating daily implied volatility into your system can give you the edge you’ve been looking for.
When managing an option portfolio, you are bound to have several occurrences where having a roadmap to figure out a more realistic what-if scenario or to gain in-depth insight into the strengths and weaknesses of how your positions could evolve would be useful.
Having traded Eurex futures & options bond markets as an institutional trader for many years, I have experienced this situation several times. After comparing my approach with those of other market participants, I noticed that some big players use daily implied volatility to make their trading decisions. To me, this suggested that I should take a more proactive approach beyond the traditional use of the greek variables in options.
The Skew Of Things To Come
In this first part of a two-part series, find out how incorporating daily implied volatility into your system can give you the edge you’ve been looking for.
When managing an option portfolio, you are bound to have several occurrences where having a roadmap to figure out a more realistic what-if scenario or to gain in-depth insight into the strengths and weaknesses of how your positions could evolve would be useful.
Having traded Eurex futures & options bond markets as an institutional trader for many years, I have experienced this situation several times. After comparing my approach with those of other market participants, I noticed that some big players use daily implied volatility to make their trading decisions. To me, this suggested that I should take a more proactive approach beyond the traditional use of the greek variables in options.
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