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We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It is argued that the reason for the observed volatility risk premium is tail risk aversion. We parametrize such risk aversion in terms of three coefficients: convexity, skew and kurtosis risk premium. We propose that option prices under the r…
VIX Index measures implied volatility in S&P 500 options and is widely used as a shorthand for equity market fear and risk aversion.
0DTE Options Flow (Derivatives).
Index Option Pin Risk Equity — Expiry magnetism around large equity-index option strikes.
Implied Vol SPX — Options and volatility market structure concept used in hedging books.
Realized Vol SPX — Options and volatility market structure concept used in hedging books.
Vol of Vol SPX — Options and volatility market structure concept used in hedging books.
Skew Surface SPX — Options and volatility market structure concept used in hedging books.
Term Structure SPX (Derivatives).
Variance Swap SPX (Derivatives).
Volatility Swap SPX (Derivatives).
Corridor Variance SPX (Derivatives).
Gamma Profile SPX (Derivatives).
Vega Bucket SPX (Derivatives).
Vanna Map SPX (Derivatives).
Volga Surface SPX (Derivatives).
Digital Risk SPX (Derivatives).
Barrier Risk SPX (Derivatives).
Autocallable Risk SPX (Derivatives).
Cliquet Structure SPX (Derivatives).
Dispersion Trade SPX (Derivatives).
Autocallable Risk SPX (Derivatives).
Barrier Risk SPX (Derivatives).
Cliquet Structure SPX (Derivatives).
Corridor Variance SPX (Derivatives).
Digital Risk SPX (Derivatives).
Dispersion Trade SPX (Derivatives).
Gamma Profile SPX (Derivatives).
Implied Vol SPX — Options and volatility market structure concept used in hedging books.
Realized Vol SPX — Options and volatility market structure concept used in hedging books.
Skew Surface SPX — Options and volatility market structure concept used in hedging books.
Term Structure SPX (Derivatives).
Vanna Map SPX (Derivatives).
Variance Swap SPX (Derivatives).
Vega Bucket SPX (Derivatives).
Vol of Vol SPX — Options and volatility market structure concept used in hedging books.
Volatility Swap SPX (Derivatives).
Volga Surface SPX (Derivatives).