With respect to an option's strike (strike price), it refers to the situation where the implied volatility (volatility skew) remains...
When the investor is pessimistic (bearish) on the price of an asset, on expectation its the price will fall, he...
A situation where the implied volatility (volatility skew) remains unchanged (i.e., it sticks) for any given delta or moneyness. Options...
A situation where the implied volatility (volatility skew) remains unchanged (i.e., it sticks) for any given delta or moneyness. Options...
A situation where the implied volatility (volatility skew) remains unchanged (i.e., it sticks) for any given moneyness. In other words,...
With respect to an option's strike (strike price), it refers to the situation where the implied volatility (volatility skew) remains...
An interest rate product which pays a coupon linked to the absolute volatility of an interest rate index over a...
A valuation model which is used to price financial options under a number of simplistic assumptions, including specifically that the...
A portfolio of options which has a vega of zero. That is, the option combination implies a neutralized vega. This...
The amount of change in the price of an option in response to a 1% change in volatility of the...