Papers, wiki, Option Blackboard, encyclopedia, and cards.
Abstract Our objective in this paper is to examine whether one can use option-implied information to improve the selection of mean-variance portfolios with a large number of stocks, and to document which aspects of option-implied information are most useful to improve their out-of-sample performance. Portfolio performance is measured in terms of volatility, Sharpe ratio, and turnover. Our empirical evidence shows tha…
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…
Skew measures the relative richness of downside versus upside implied volatility, helping track hedging demand and asymmetry in market risk pricing.
Risk Reversal — Call-put spread package measuring directional skew in FX and equity options.
Volatility Smile — Strike-dependent implied vol pattern reflecting crash and demand premia.
Volatility Skew (Derivatives).
Ratio Spread (Derivatives).
SKEW Index (Derivatives).
Put Call Skew Equity (Equity).
Crypto Options Skew (Crypto).
Single Stock Option Skew — Name-specific put/call skew around events and borrow.
Skew Surface 1M — Options and volatility market structure concept used in hedging books.
Skew Surface 3M — Options and volatility market structure concept used in hedging books.
Skew Surface 6M — Options and volatility market structure concept used in hedging books.
Skew Surface 1Y — Options and volatility market structure concept used in hedging books.
Skew Surface 2Y — Options and volatility market structure concept used in hedging books.
Skew Surface 5Y — Options and volatility market structure concept used in hedging books.
Skew Surface 7Y — Options and volatility market structure concept used in hedging books.
Skew Surface 10Y — Options and volatility market structure concept used in hedging books.
Skew Surface 20Y — Options and volatility market structure concept used in hedging books.
Skew Surface 30Y — Options and volatility market structure concept used in hedging books.
Skew Surface front — Options and volatility market structure concept used in hedging books.
Skew Surface belly — Options and volatility market structure concept used in hedging books.
Skew Surface long-end — Options and volatility market structure concept used in hedging books.
Skew Surface ultra-long — Options and volatility market structure concept used in hedging books.
Skew Surface SPX — Options and volatility market structure concept used in hedging books.
Skew Surface NDX — Options and volatility market structure concept used in hedging books.
Skew Surface RUT — Options and volatility market structure concept used in hedging books.
Skew Surface SX5E — Options and volatility market structure concept used in hedging books.
Skew Surface NKY — Options and volatility market structure concept used in hedging books.
Skew Surface single-name — Options and volatility market structure concept used in hedging books.
Skew Surface index — Options and volatility market structure concept used in hedging books.
Skew Surface OTM — Options and volatility market structure concept used in hedging books.
Skew Surface ATM — Options and volatility market structure concept used in hedging books.
Options Skew BTC BTC — Digital-asset market structure, leverage, or on-chain concept.
Options Skew BTC ETH — Digital-asset market structure, leverage, or on-chain concept.
Options Skew BTC SOL — Digital-asset market structure, leverage, or on-chain concept.
Options Skew BTC BNB — Digital-asset market structure, leverage, or on-chain concept.
Crypto Options Skew (Crypto).
Inventory Skew MM crypto (Microstructure).
Inventory Skew MM ETF (Microstructure).
Inventory Skew MM EU equities (Microstructure).
Inventory Skew MM futures (Microstructure).
Inventory Skew MM FX spot (Microstructure).
Inventory Skew MM HY credit (Microstructure).
Inventory Skew MM IG credit (Microstructure).
Inventory Skew MM options (Microstructure).
Inventory Skew MM Treasury (Microstructure).
Inventory Skew MM US equities (Microstructure).
Options Skew BTC BNB — Digital-asset market structure, leverage, or on-chain concept.
Options Skew BTC BTC — Digital-asset market structure, leverage, or on-chain concept.
Options Skew BTC carry Regime (Crypto).
Options Skew BTC CEX — Digital-asset market structure, leverage, or on-chain concept.
Options Skew BTC DeFi — Digital-asset market structure, leverage, or on-chain concept.
Options Skew BTC DEX — Digital-asset market structure, leverage, or on-chain concept.
Options Skew BTC disinflation Regime (Crypto).
Options Skew BTC easing Regime (Crypto).
Options Skew BTC ETH — Digital-asset market structure, leverage, or on-chain concept.
Options Skew BTC liquidity-crisis Regime (Crypto).
Options Skew BTC options — Digital-asset market structure, leverage, or on-chain concept.
Options Skew BTC perp — Digital-asset market structure, leverage, or on-chain concept.
Options Skew BTC recession Regime (Crypto).