Overview of options and volatilities
- What risks do you want to hedge?
- Delta, gamma, theta, and vega
- Straddles and strangles
- Volatility: realized and implied. Can we predict them?
Tutorial to MATLAB
- Quick survey of syntax: arithmetrics, arrays, functions
- Useful toolboxes
- The pros and cons of using MATLAB as a backtesting platform vis-à-vis R and Python
- Can we benefit from buying volatility ahead of economic announcements?
- A tale of two events
- Backtesting intraday straddles and strangles strategies with high frequency data
- The theoretical appeal of gamma scalping
- Is gamma scalping long or short volatility?
- Backtesting gamma scalping on crude oil futures and options
- An analogy with index arbitrage
- The risk profile of dispersion trading
- Various implementation alternatives
- Backtesting dispersion trading on the SPX: the curse of dimensionality
Cross-sectional Mean Reversion of Implied Volatility
- Time series vs cross-sectional mean reversion
- Does realized volatility mean-revert? Does implied volatility?
- Backtesting a portfolio of stock options
- Why is the return so high? Leverage of an option position
- Risks of a cross-sectional mean reversion strategy on options
Trading volatility without options
- Trading VX using predictions of VX return
- Using GARCH to predict volatility
- The counter-intuitive way of trading XIV using predictions of SPY volatility
General pitfalls and difficulties of backtesting and implementing algo options strategies