0DTE 45% SPX option vol
0DTELong
0DTE ~45% SPX options vol Cboe 2024
Source: TradeAlgo
0DTE gamma walls dealer
0DTEMulti
0DTE gamma walls dealer hedging
Source: encyclopedia
0DTE max theta
0DTEShort
0DTE max theta lose all time value session
Source: TradeAlgo
0DTE pin risk strikes
0DTEShort
0DTE pin risk strikes near expiry
Source: encyclopedia
American option early exercise
PricingMulti
American early exercise dividend before ex
Source: encyclopedia
Bates jump-diffusion
PricingMulti
Bates jump-diffusion stochastic vol
Source: encyclopedia
Bermudan option discrete dates
PricingMulti
Bermudan option discrete exercise dates
Source: encyclopedia
Binomial CRR Cox-Ross-Rubinstein
PricingLong
Binomial CRR 1979 lattice
Source: encyclopedia
Black-Scholes-Merton 1973
PricingLong
Black-Scholes-Merton 1973 Nobel 1997
Source: Wikipedia
CGMY pure jump model
PricingMulti
CGMY pure jump Levy process
Source: encyclopedia
Calendar spread ER
EarningsLong
Calendar spread sell front buy back IV
Source: encyclopedia
Charm delta decay time
2nd OrderMulti
Charm dΔ/dt delta decay over time
Source: Derivatives
Charm hedge adjustment overnight
2nd OrderLong
Charm hedge adjustment overnight requirement
Source: Wealthsimple
Color gamma-of-time
2nd OrderMulti
Color dGamma/dt gamma sensitivity to t
Source: Macroption
Correlation trade
Vol TradingLong
Correlation trade implied vs realized
Source: encyclopedia
Cross vanna multi-asset
2nd OrderMulti
Cross vanna multi-asset basket
Source: Wikipedia
Cross volga multi-asset
2nd OrderMulti
Cross volga multi-asset basket
Source: Wikipedia
Delta ATM ~0.5
1st OrderMulti
ATM call delta ~0.5 ATM put -0.5
Source: encyclopedia
Delta call 0 to 1
1st OrderMulti
Call delta 0 to 1 (long underlying)
Source: encyclopedia
Delta directional sensitivity
1st OrderLong
Delta dV/dS directional sensitivity primary
Source: Quantt
Delta hedging discrete
HedgingLong
Delta hedging discrete intervals
Source: QuantNext
Delta probability ITM proxy
1st OrderMulti
Delta proxy probability ITM at expiry
Source: Derivatives
Delta put -1 to 0
1st OrderMulti
Put delta -1 to 0 (short underlying)
Source: encyclopedia
Dispersion trade index v singles
Vol TradingLong
Dispersion sell index buy singles options
Source: encyclopedia
EUVOL Eurodollar vol
Vol SurfaceMulti
EUVOL Eurodollar volatility index
Source: encyclopedia
EWMA exp-weighted
IV vs RVMulti
EWMA exp-weighted moving average vol
Source: encyclopedia
FX option premium adjusted delta
PricingMulti
FX option premium-adjusted delta
Source: encyclopedia
Finite difference PDE
PricingLong
Finite difference PDE method
Source: encyclopedia
Forward delta vs spot delta
PricingMulti
Forward delta vs spot delta FX
Source: encyclopedia
Fourier transform Carr-Madan
PricingMulti
Fourier transform Carr-Madan FFT
Source: encyclopedia
GARCH conditional vol
IV vs RVMulti
GARCH conditional vol clustering
Source: Quantt
GVZ gold vol index
Vol SurfaceMulti
Cboe GVZ gold volatility index
Source: encyclopedia
Gamma delta-of-delta
2nd OrderLong
Gamma d²V/dS² convexity in S
Source: Derivatives
Gamma hedge w/ another option
HedgingLong
Gamma hedge with another option
Source: Wealthsimple
Gamma max ATM short-dated
2nd OrderMulti
Gamma max ATM near-expiry
Source: Finance
Garman-Klass OHLC
IV vs RVMulti
Garman-Klass OHLC volatility estimator
Source: encyclopedia
Heston stochastic vol 1993
Vol SurfaceLong
Heston stochastic volatility 1993 model
Source: encyclopedia
Heston-Nandi GARCH
IV vs RVMulti
Heston-Nandi GARCH options
Source: encyclopedia
IV from market RV from history
IV vs RVLong
IV from option price RV from past returns
Source: Quantt
Iron fly earnings collect
EarningsShort
Iron fly earnings collect IV crush premium
Source: encyclopedia
Local vol Dupire 1994
Vol SurfaceLong
Local volatility Dupire 1994 calibrated
Source: Quantt
Long gamma scalp + hedge
2nd OrderLong
Long gamma scalp + hedge as moves
Source: Wealthsimple
Long straddle pre-earnings
EarningsLong
Long straddle pre-earnings IV expansion
Source: encyclopedia
Merton jump-diffusion 1976
PricingMulti
Merton 1976 jump-diffusion model
Source: encyclopedia
Monte Carlo simulation
PricingLong
Monte Carlo path simulation pricing
Source: encyclopedia
OVX oil vol index
Vol SurfaceMulti
Cboe OVX crude oil volatility index
Source: encyclopedia
Parkinson high-low estimator
IV vs RVMulti
Parkinson high-low volatility estimator
Source: encyclopedia
RVX Russell 2000 vol
Vol SurfaceMulti
Cboe RVX Russell 2000 vol index
Source: encyclopedia
Realized < implied short gamma
HedgingLong
Realized < implied → short gamma wins
Source: QuantNext
Realized > implied long gamma wins
HedgingLong
Realized > implied → long gamma wins
Source: QuantNext
Realized variance R^2 sum
IV vs RVMulti
Realized variance R² sum daily returns
Source: encyclopedia
Rho LEAPS material
1st OrderMulti
Rho LEAPS deep ITM material
Source: TradeAlgo
Rho minor short-dated
1st OrderMulti
Rho minor short-dated equity options
Source: TradeAlgo
Rho rate sensitivity
1st OrderMulti
Rho dV/dr interest rate sensitivity
Source: Wikipedia
Roll yield contango bleed
Vol TradingShort
VIX roll yield contango bleed VXX
Source: encyclopedia
Rough vol Bayer Friz Gatheral
PricingLong
Rough volatility Hurst < 0.5 fractional
Source: encyclopedia
SABR stochastic alpha beta rho
Vol SurfaceLong
SABR Hagan model stochastic vol smile
Source: Quantt
SKEW Cboe tail risk
Vol SurfaceLong
Cboe SKEW Index black swan tail
Source: encyclopedia
SVI stochastic vol inspired
Vol SurfaceLong
SVI Gatheral parameterization smile fit
Source: encyclopedia
SVXY short VIX 1x
Vol TradingLong
ProShares SVXY short VIX 1x
Source: encyclopedia
Short gamma collect theta
2nd OrderShort
Short gamma collect theta cast net
Source: Wealthsimple
Short strangle post-earnings
EarningsShort
Short strangle post-earnings IV crush
Source: encyclopedia
Speed gamma-of-S
2nd OrderMulti
Speed d³V/dS³ gamma sensitivity to S
Source: Macroption
TYVIX 10Y Treasury vol
Vol SurfaceMulti
Cboe TYVIX 10Y Treasury vol index
Source: encyclopedia
Term structure expiry IV
Vol SurfaceLong
Term structure IV by expiry tenor
Source: encyclopedia
Theta = cost of gamma
1st OrderMulti
Theta cost of gamma realized vs implied
Source: QuantNext
Theta accelerates last 30D
1st OrderShort
Theta accelerates last 30D 3-5x last week
Source: TradeAlgo
Theta time decay daily
1st OrderShort
Theta dV/dt time decay daily cost
Source: Quantt
Theta-gamma trade-off
HedgingLong
Theta-gamma trade-off cost convexity
Source: QuantNext
Trinomial Boyle 1986
PricingMulti
Trinomial Boyle 1986 lattice
Source: encyclopedia
UVXY long VIX 1.5x
Vol TradingMulti
ProShares UVXY long VIX 1.5x
Source: encyclopedia
VIX SPX 30-day var swap
Vol SurfaceLong
VIX SPX 30-day var swap rate index
Source: encyclopedia
VIX futures contango
Vol TradingLong
VIX futures contango most of time
Source: encyclopedia
VVIX vol of VIX
Vol SurfaceMulti
VVIX vol of VIX 30-day
Source: encyclopedia
VXX iPath VIX
Vol TradingMulti
iPath VXX VIX short-term futures
Source: encyclopedia
Vanna RR risk reversal
2nd OrderLong
Vanna RR risk reversal main carrier
Source: arxiv
Vanna delta to vol
2nd OrderLong
Vanna d²V/dSdσ delta to vol = vega to S
Source: Macroption
Vanna-Volga FX hedge
Vol SurfaceLong
Vanna-Volga method FX exotic pricing
Source: arxiv
Variance gamma Madan
PricingMulti
Variance gamma Madan-Carr-Chang
Source: encyclopedia
Variance swap pure realized
Vol TradingLong
Variance swap pure realized vol exposure
Source: encyclopedia
Vega +T longer = more
1st OrderMulti
Vega higher for longer-dated options
Source: Finance
Vega hedge variance swap
HedgingLong
Vega hedge with variance swap
Source: encyclopedia
Vega max ATM
1st OrderMulti
Vega max for ATM options
Source: Finance
Vega same call/put
1st OrderMulti
Vega same value call + put same K T
Source: Wikipedia
Vega vol sensitivity
1st OrderLong
Vega dV/dσ implied vol sensitivity
Source: Quantt
Vera rho-of-vol
2nd OrderMulti
Vera dRho/dσ = dVega/dr
Source: Macroption
Veta vega decay time
2nd OrderMulti
Veta dVega/dt vega decay over time
Source: Macroption
Vol carry roll-down
Vol TradingLong
Vol carry roll-down volatility curve
Source: encyclopedia
Vol crush post-earnings
EarningsShort
Earnings IV crush 30-50% post-announcement
Source: TradeAlgo
Vol risk premium IV>RV
IV vs RVLong
Vol risk premium IV > RV avg ~3-4%
Source: encyclopedia
Vol skew put higher IV
Vol SurfaceLong
Put IV > call IV equity skew downside
Source: Quantt
Vol smile equity 1987 lesson
Vol SurfaceLong
Equity vol smile post-1987 lesson
Source: Quantt
Vol surface 2D K + T
Vol SurfaceLong
Vol surface 2D strike + tenor
Source: Quantt
Vol target risk parity
Vol TradingLong
Vol target sizing risk parity
Source: encyclopedia
Volatility swap √-vol
Vol TradingMulti
Volatility swap √-RV exposure
Source: encyclopedia
Volga BF butterfly carrier
2nd OrderLong
Volga BF butterfly main carrier
Source: arxiv
Volga vega convexity
2nd OrderLong
Volga d²V/dσ² vega convexity = volga = vomma
Source: Finance
XIV blew up Feb 2018
Vol TradingShort
XIV blew up Volmageddon Feb 5 2018
Source: encyclopedia
Yang-Zhang OHLC est
IV vs RVMulti
Yang-Zhang OHLC volatility estimator
Source: encyclopedia
Zomma gamma-of-vol
2nd OrderMulti
Zomma dGamma/dσ gamma sensitivity to vol
Source: Macroption
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.