VOL

Volatility

Measuring it, reading the surface, and the relative-value trades built on its shape.

1
Implied against realised
Measuring realised volatility, the square-root-of-time rule, the surface, and what a hedged option is really long.
- 1.1Implied against realised, and the surface12 min
2
Trading volatility
Gamma scalping, event volatility, earnings and weekend decay.
- 2.1Trading volatility: gamma scalping, events and the weekend12 min
3
Variance and volatility derivatives
Variance swaps, the log contract and VIX construction.
- 3.1Variance swaps, the log contract and what the VIX is13 min
4
Relative-value volatility
Dispersion, skew trades and correlation as a tradable.
- 4.1Relative value: dispersion, skew trades and correlation13 min

Implied against realised