¡¶Trading Volatility, Correlation, Term Structure and Skew¡·: TradingVolatility.pdf

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CONTENTS
PREFACE
CHAPTER 1
OPTIONS
1.1: Option basics
1.2: Option trading in practice
1.3: Maintenance of option positions
1.4: Call overwriting
1.5: Protection strategies using options
1.6: Option structures trading
CHAPTER 2
VOLATILITY TRADING
2.1: Volatility trading using options
2.2: Variance is the key, not volatility
2.3: Volatility, variance and gamma swaps
2.4: Options on variance
CHAPTER 3
WHY EVERYTHING YOU THINK YOU KNOW ABOUT VOLATILITY IS WRONG
3.1: Implied volatility should be above realized volatility
3.2: Long volatility is a poor hedge
3.3: Variable annuity hedging lifts long-term vol
3.4: Structured products vicious circle
3.5: Stretching black-scholes assumptions
CHAPTER 4
FORWARD STARTING PRODUCTS AND VOLATILITY INDICES
4.1: Forward starting products
4.2: Volatility indices
4.3: Futures on volatility indices
4.4: Volatility future ETN/ETF
4.5: Options on volatility futures
CHAPTER 5
LIGHT EXOTICS
5.1: Barrier options
5.2: Worst-of/best-of options
5.3: Outperformance options
5.4: Look-back options
5.5: Contingent premium options
5.6: Composite and quanto options
CHAPTER 6
RELATIVE VALUE AND CORRELATION TRADING
6.1: Relative value trading
6.2: Relative value volatility trading
6.3: Correlation trading
6.4: Trading earnings announcements/jumps
CHAPTER 7
SKEW AND TERM STRUCTURE TRADING
7.1: Skew and term structure are linked
7.2: Square root of time rule can compare term structures and skews
7.3: Term structure trading
7.4: How to measure skew and smile
7.5: Skew trading
APPENDIX
A.1: Local volatility
A.2: Measuring historical volatility
A.3: Proof implied jump formula
A.4: Proof var swaps can be hedged by log contract (=1/k2)
A.5: Proof variance swap notional = vega/2¦Ò
A.6: Modelling volatility surfaces
A.7: Black-scholes formula
A.8: Greeks and their meaning
A.9: Advanced (practical or shadow) greeks
A.10: Shorting stock by borrowing shares
A.11: Sortino ratio
A.12: Capital structure arbitrage
INDEX

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