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Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the high-frequency data of each stock included in the SSE (Shanghai Stock Exchange) 50 Index for the year 2011, we report several statistical properties of convexity and analyze the a…
Cost-function market makers are always assumed convex, and convexity is not what makes them coherent. For a path-independent maker the exact no-arbitrage condition is a chord condition, that every chord slope of the cost lie in the convex hull of payoffs; convexity enters the standard axiomatics through a separate requirement, monotone information incorporation, and dropping it leaves coherent non-convex makers. Rati…
A convertible is a bond plus an embedded call on the issuer’s stock — credit with equity convexity, or equity with a coupon, depending on the delta.
Crisis alpha is return earned from persistent trends that form after a market crisis starts — not a prediction of the crash day, and not a put that pays on a two-day dip.
Whipsaw is the range-bound regime where trend signals flip, scratch, and bleed — the ordinary cost of owning tail convexity.
Slow trend: lookbacks of roughly 6–12 months, low turnover, fewer whipsaws, later entries, and the bulk of classic CTA crisis convexity.
A managed-futures book that is structurally long options or long VIX-curve convexity — pays carry, aims to print in jumps and persistent stress.
A butterfly is long one wing, short two bodies, long the other wing — a bet on a pin or on the curvature of the smile.
A call option is the right, not the obligation, to buy the underlying at a strike by expiry — convex upside for a premium.
Gamma is the sensitivity of delta to the underlying — how fast the hedge ratio moves, and who is chasing whom.
Skew measures the relative richness of downside versus upside implied volatility, helping track hedging demand and asymmetry in market risk pricing.
Theta is the sensitivity of option value to the passing of time — the daily rent of holding convexity.
Convexity Risk — Non-linear price response to yield changes, especially relevant in MBS and long bonds.
The 2s10s Treasury curve measures the spread between 10-year and 2-year Treasury yields and is a key indicator of growth expectations, policy path, and term structure dynamics.
A convertible is a bond plus an embedded call on the issuer’s stock — credit with equity convexity, or equity with a coupon, depending on the delta.
Convexity Risk — Non-linear price response to yield changes, especially relevant in MBS and long bonds.
Whipsaw is the range-bound regime where trend signals flip, scratch, and bleed — the ordinary cost of owning tail convexity.
Slow trend: lookbacks of roughly 6–12 months, low turnover, fewer whipsaws, later entries, and the bulk of classic CTA crisis convexity.
A managed-futures book that is structurally long options or long VIX-curve convexity — pays carry, aims to print in jumps and persistent stress.
Theta is the sensitivity of option value to the passing of time — the daily rent of holding convexity.