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Trading Volatility: Correlation, Term Structure and Skew
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Trading Volatility: Correlation, Term Structure and Skew

http://trading-volatility.com/Trading-Volatility.pdf by Colin Bennett
 

Implied vs Realized

Vol cone shows how realized is more volatile than implied
 

Vol as a Hedge

Decomposing long vol: A poor hedge even beyond it's expected overpricing
 

Term Structure

Term structure supply/demand
Looking at variance vs implied vol term structure
Comparing term structures
Relationship of skew and term structure
 

Skew

Reasons for skew
Measuring skew
Skew is steeper in nearer dated
4 skew regimes and their deltas
Skew trading
 

Pairs trading

Weighting pair trades
 

Dispersion and correlation

Structural bid for correlation
Correlation swap trades below implied corr
Weighting dispersion