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...
AÂ 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...
