Condor Options

We’re looking at some dispersion trades in a few sectors and indexes here.  Index implied volatility is still very high, but realized/historical volatility in individual names may be coming down, and in any case we’re hoping for a return to a market where individual stocks might rise and fall due to their own particular disastrous decisions, rather than merely as a result of the news cycle.

And after doing some review, we thought you might like some financial geekery to kill the time while we all wait for election results:

• Egar Technology – Equity Options Dispersion Trading
  
• Dispersion – A Guide for the Clueless (funny piece)
• Qian Deng – Volatility Dispersion Trading
• Risk Latte – Spiking Equity Implied Correlation – A Rare Dispersion Trade
• Sonesh Ganatra – Implementation of Variance Swaps in Dispersion Trading Strategies
• IVolatility.com – Good docs and a neat-looking tool

Was going to have a look at the Wilmott forums, but honestly, the endless posturing gets rather tiresome.