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Volatility arbitrage

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  • Volatility arbitrage — (or vol arb) is a type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlier. The objective is to take advantage of differences between the implied volatility of the option, and a… …   Wikipedia

  • Volatility Arbitrage — Trading strategies that attempt to exploit differences between the forecasted future volatility of an asset and the implied volatility of options based on that asset. Because options pricing is determined by the volatility of the underlying asset …   Investment dictionary

  • Volatility (finance) — Volatility most frequently refers to the standard deviation of the continuously compounded returns of a financial instrument with a specific time horizon. It is often used to quantify the risk of the instrument over that time period. Volatility… …   Wikipedia

  • Arbitrage — For the upcoming film, see Arbitrage (film). Not to be confused with Arbitration. In economics and finance, arbitrage (IPA: /ˈɑrbɨtrɑːʒ/) is the practice of taking advantage of a price difference between two or more markets: striking a… …   Wikipedia

  • Volatility smile — In finance, the volatility smile is a long observed pattern in which at the money options tend to have lower implied volatilities than in or out of the money options. The pattern displays different characteristics for different markets and… …   Wikipedia

  • Arbitrage (finance) — Pour les articles homonymes, voir arbitrage. L arbitrage est une opération financière assurant un gain positif ou nul de manière certaine. Par exemple en prenant simultanément et en sens contraire position sur plusieurs actifs dérivés différents… …   Wikipédia en Français

  • Stochastic volatility — models are used in the field of quantitative finance to evaluate derivative securities, such as options. The name derives from the models treatment of the underlying security s volatility as a random process, governed by state variables such as… …   Wikipedia

  • Risk arbitrage — Risk arbitrage, or merger arbitrage, is an investment or trading strategy often associated with hedge funds. Two principal types of merger are possible: a cash merger, and a stock merger. In a cash merger, an acquirer proposes to purchase the… …   Wikipedia

  • Statistical arbitrage — In the world of finance and investments statistical arbitrage is used in two related but distinct ways:* In academic literature, statistical arbitrage is opposed to (deterministic) arbitrage. In deterministic arbitrage a sure profit can be… …   Wikipedia

  • Convertible arbitrage — is a market neutral investment strategy often employed by hedge funds. It involves the simultaneous purchase of convertible securities and the short sale of the same issuer s common stock. The premise of the strategy is that the convertible is… …   Wikipedia

  • Net volatility — refers to the volatility implied by the price of an option spread trade involving two or more options. Essentially, it is the volatility at which the theoretical value of the spread trade matches the price quoted in the market, or, in other words …   Wikipedia

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