Skew this: taking the computational burden off basket options
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
Source: risk.net
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Decoding the Flattening of Skew in High Volatility Markets
Why does a stock’s skew become flat when markets get volatile? If you’ve ever wondered how the shape of skew changes during turbulent times, this article will provide you with the answers.During periods of high volatility, a slope that is typically associated with skew tends to flatten out. As a result, the implied volatility difference […]
Source: hapblog.com
Smile-consistent basket skew
An analytic approximation for the implied volatility surface of basket options is introduced
Source: risk.net
20 Options Trades to Make Now With Winning Strategy: Goldman Sachs
Goldman Sachs breaks down an options strategy that has outperformed the market for the last 27 years, and the 20 trades to make now.
Source: businessinsider.com
Logica Capital July 2023 Commentary
Logica Capital commentary for the month ended July 31, 2023. Markets continued their broad rally in July, with all of the 4 major indices gaining more than +3.0%.
Source: valuewalk.com