A volatility whose magnitude is theoretically set the same across different delta values of an option. The standard Black-Scholes model...
A volatility whose magnitude is theoretically set the same across different delta values of an option. The standard Black-Scholes model...
An agreement (forward volatility agreement) that a seller and a buyer enter into in order to exchange a straddle option...
A third-order greek that measures the rate of change in the option gamma in response to a change in the...
The underlying volatility that is anticipated over the life of a derivative contract such as an option, a futures contract, etc. It is the amount by...
The underlying volatility that is anticipated over the life of a derivative contract such as an option, a futures contract, etc. It is the amount by...
The difference between the values of two options, that is made when the value of the one sold exceeds the value...
A delta-neutral option spread which is usually established in order to take a view or speculate on changes of market volatility...
A variation on variance swaps which weights the periodic squared return of the underlying by the ratio of current price to initial...
A market phenomenon that comes into play when dealers in CMS spread range accrual structures (CRANS) go from exposure being relatively flat...
