Tag: volatility
Strategies
Concepts
Interview Questions
- Pricing the edge when realized beats implied
- Implied vol is 18%, you think realized will be 28%
- Where does gamma scalping P&L come from?
- Why trade a variance swap instead of a hedged option?
- Short a straddle, then the stock gaps
- Implied vol is 30%, you think realized will be 20%
- Why is buying a straddle "long volatility"?
- Selling a strangle instead of a straddle
- Capping the tails with an iron condor
- Why is selling a straddle "short volatility"?
- What you make when implied vol ticks up a point
- Which option carries the most vega?
- Why do spreads blow out during a fast market?
- Standard error of the sample standard deviation
- Your variance estimate is unbiased, is your volatility estimate?
- How noisy is the sample standard deviation?