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Assessing Recent Dynamics in the World of Vol

Alpha Exchange

CHAPTER

The Volatility of a Stylized Series

The volatility of the stock can be 2-5 times higher than that of an average day. The math of volatility trading is such that substantially large 1 day percent moves have enormous impact on P&L. When it comes to vol trading, big moves do indeed matter most. It is these large moves that cause realized vol to pop and allows the convexity of a delta neutral option position to kick in.

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