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We investigate whether the volatility risk premium is negative by examining the statistical properties of delta-hedged option portfolios (buy the option and hedge with stock). Within a stochastic volatility framework, we demonstrate a correspondence between the sign and magnitude of the volatility risk premium and the mean delta-hedged portfolio returns. Using a sample of S&P 500 index options, we provide emp…
Automated Market Makers based on concentrated liquidity, such as Uniswap v3, significantly improve capital efficiency but expose Liquidity Providers (LPs) to adverse selection costs, formalized as Loss-Versus-Rebalancing (LVR). While theoretical literature quantifies these costs, the interplay between realistic blockchain microstructure and endogenous pricing mechanisms remains under-explored. This paper develops a g…
Gold price reflects demand for a non-yielding reserve asset and is often used as a signal for real yields, macro uncertainty, and confidence in fiat systems.
Key Rate Duration — Bucketed rate sensitivity across curve points for relative-value and hedge construction.
Volatility of Volatility — Uncertainty about future volatility, critical for tail hedges and vol-of-vol products.
Realized Volatility — Historical return variation that determines PnL for delta-hedged option positions.
Systemic Risk Indicator — Aggregate capital shortfall under stress — connects banking to macro hedges.
Vega Hedging (Derivatives).
LEAPS Options — Long-dated equity options used for leveraged directional or hedge overlays.
Protective Put (Derivatives).
Collar Strategy (Derivatives).
Delta Neutral Portfolio — Book constructed so first-order spot sensitivity is near zero.
Tail Hedge Overlay (Derivatives).
Crypto Market Maker Inventory — Dealer inventory and hedge needs shaping crypto microstructure.
Crypto Market Maker Inventory — Dealer inventory and hedge needs shaping crypto microstructure.
Key Rate Duration — Bucketed rate sensitivity across curve points for relative-value and hedge construction.
LEAPS Options — Long-dated equity options used for leveraged directional or hedge overlays.
Realized Volatility — Historical return variation that determines PnL for delta-hedged option positions.
Systemic Risk Indicator — Aggregate capital shortfall under stress — connects banking to macro hedges.
Tail Hedge Overlay (Derivatives).
Volatility of Volatility — Uncertainty about future volatility, critical for tail hedges and vol-of-vol products.