Financial Geekery Mini-linkfest
When the market is frustrating or weird or mostly untouchable, we find that’s usually the best time to geek out. The research linked below has, beyond its immediate educational value, the hidden benefit of also being difficult and long enough to keep you from overtrading and/or obsessing about day-to-day nonsense.
- Emanuel Derman on models.
- More on volatility as an asset class. We expressed our doubts about pursuing this notion qua retail traders here. Obviously, there are variance and volatility swaps for those confined to institutions (pun intended), but thankfully the CME doesn’t distribute those particular ropes to individuals eager to hang themselves.
- Taleb & Goldstein, “We Don’t Quite Know What We are Talking About When We Talk About Volatility“.
- Championing volatility as an asset class. UK fund sells a volatility swap each month on the premise that actual (realized, historical) volatility will be lower than what is implied in forward-looking options. (Same premise as our newsletter strategy.)
- Desjardins Securities, “Volatility Arbitrage and Delta Hedging.” (free on Infotrac to those with academic database access) Excellent research on the implied vs historical volatility differential; arbing that differential using VIX data vs single-option IV data; and other deliciousness.
More on this topic
(What's this?)
The Volatile Fear Gauge
(Wealth Daily, 7/31/10)
A Reminder to Trade the VIX...
(Wealth Daily, 8/11/10)
Tags: arbitrage, asset, cme, delta hedging, derman, desjardins, taleb, variance swaps, VIX, Volatility, volatility swap


Mon, Oct 6, 2008 | Jared
Options Education, Volatility