Options & Volatility

Read these first

1. 01VIX Futures Term Structure

   You cannot buy the VIX itself, so volatility trades through futures on it. Those futures form a curve across settlement months, and the shape of that curve, sloping up in calm markets and inverted in panics, decides whether holding volatility quietly bleeds you or quietly pays you.

Then the rest

1. 02Brownian Motion
2. 03Itô's Lemma
3. 04Risk-Neutral Pricing
4. 05The Black-Scholes Model
5. 06Put-Call Parity
6. 07The Option Greeks
7. 08Delta-Hedging P&L
8. 09Implied Volatility
9. 10The Volatility Smile and Skew
10. 11Local Volatility and Dupire's Formula
11. 12Stochastic Volatility and the Heston Model
12. 13The SABR Model
13. 14Variance Swaps
14. 15The VIX Index
15. 16The Term Structure of Volatility
16. 17Girsanov's Theorem
17. 18The Feynman-Kac Theorem
18. 19Exotic Options
19. 20Options: Calls and Puts
20. 21Yield Curve Basics
21. 22American Options and Early Exercise
22. 23Binomial Option Pricing
23. 24Bond Duration and Convexity
24. 25Calendar Spreads
25. 26Cost Of Carry Model
26. 27Digital (Binary) Options
27. 28Dividend Futures and Dividend Swaps
28. 29Forward Contracts
29. 30Futures vs Forwards
30. 31Interest Rate Swaps
31. 32Monte Carlo Option Pricing
32. 33Straddles and Strangles
33. 34Theta and Time Decay
34. 35Total Return Swaps
35. 36Vertical Spreads
36. 37Volatility ETPs And Roll Decay
37. 38Asian Options
38. 39Barrier Options
39. 40Dispersion Trading
40. 41Finite Difference Option Pricing
41. 42Gamma Scalping
42. 43Merton's Jump-Diffusion Model
43. 44The Variance Risk Premium
44. 45Vega and Vomma
45. 46VIX Options and Vol-of-Vol
46. 47Volatility Arbitrage