May 2012
Beginner
240 pages
4h 57m
English
book
The Option Trader’s Hedge Fund: A Business Framework for Trading Equity and Index Options
by Dennis A. Chen, Mark Sebastian
Content preview from The Option Trader’s Hedge Fund: A Business Framework for Trading Equity and Index Options
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11. Lessons from the Trading Floor on Volatility
Understanding Weighted Vegas in SPX Index Options
Mark Sebastian wrote the following in his OptionPit.com blog on 12/06/2010:
Some people call a calendar a good way to hedge the short vega from income spreads. This might be true in some cases but not in all cases. It is better to understand the movements of implied volatility across options. One should understand how volatility spikes affect volatility. The chart below is a graph of 30-day implied volatility (higher line) compared to 90-day implied volatility (lower line). What do you notice?
(Source: Livevol © www.livevol.com)
Notice how the 30-day ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.