Option Gem

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mathieurrr

I thought I'd share this pdf I found while searching for some reading on trading vol skew. This covers a lot of different topics and I haven't read the whole thing yet but it seems pretty fantastic and very informative. It would be awesome if others could also post some more reading gems about options that they found useful.

http://cfe.cboe.com/education/TradingVolatility.pdf



Matt
 
Quote from mathieurrr:

I thought I'd share this pdf I found while searching for some reading on trading vol skew. This covers a lot of different topics and I haven't read the whole thing yet but it seems pretty fantastic and very informative. It would be awesome if others could also post some more reading gems about options that they found useful.

http://cfe.cboe.com/education/TradingVolatility.pdf



Matt
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that has floated around before.. i've read it... good stuff...
 
Quote from mathieurrr:

I thought I'd share this pdf I found while searching for some reading on trading vol skew. This covers a lot of different topics and I haven't read the whole thing yet but it seems pretty fantastic and very informative. It would be awesome if others could also post some more reading gems about options that they found useful.

http://cfe.cboe.com/education/TradingVolatility.pdf

Matt
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Not a specific link, but you can find a number of gems (that cover e.g., variance swaps, like in your link) by google searching for:

goldman sachs quantitative strategies research notes pdf

One result in particular, which is mentioned in the CBOE's white paper on calculation of the VIX is:
http://www.ederman.com/new/docs/gs-volatility_swaps.pdf
 
In my years at ET, one of my all time favs, from exasperated atticus, "has it occurred to you guys to learn how to trade?"
 
Quote from donnap:

In my years at ET, one of my all time favs, from exasperated atticus, "has it occurred to you guys to learn how to trade?"
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What exactly do you mean by that ?
 
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