A position in which negative deltas offset positive deltas. The overall delta of the position is zero or very close…
With respect to an option's strike (strike price), it refers to the situation where the implied volatility (volatility skew) remains...
A rule that assumes that the implied volatility for an option with a given strike price and maturity will not...
An acronym for at-the-money implied volatility; a measure of volatility (at-the-money volatility, ATM volatility) that represents the risk-neutral standard deviation...
A measure of volatility (at-the-money volatility, ATM volatility) that represents the risk-neutral standard deviation (SD) calculated on at-the-money option (ATM...
An acronym for at-the-money implied volatility; a measure of volatility (at-the-money volatility, ATM volatility) that represents the risk-neutral standard deviation...
A measure of volatility (at-the-money volatility, ATM volatility) that represents the risk-neutral standard deviation (SD) calculated on at-the-money option (ATM...
For options and similar types of derivatives, the skew is the slope of the implied volatility curve for a given...
It reflects the magnitude of the instantaneous fluctuation of a dynamic process, e.g., the log of an underlying asset price/...
A measure of volatility (at-the-money volatility, ATM volatility) that is calculated by averaging the implied volatilities from a put and...
