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Equity Indices Markets Old Articles Trade Ideas

Let it be (volatile)

“Fear tends to manifest itself much more quickly than greed, so volatile markets tend to be on the downside. In up markets, volatility tends to gradually decline.” Philip Roth Introduction As options and other products whose price depends on volatility have become widespread, studying its behaviour is now a key Read more…

By BSIC, 11 years6 December 2014 ago
Markets Old Articles Single Stocks Trade Ideas

Trade idea: multifractal volatility and Apple calendar spreads

Given the turbulence in the implied volatility observed in the aftermath of Apple’s Q1 results, we adopt a sophisticated quantitative model to better understand its dynamics. What we have observed so far in the option market is a large decrease in the 1-month implied volatility, and a sustained level of Read more…

By BSIC, 12 years11 May 2013 ago