
Assessing Recent Dynamics in the World of Vol
Alpha Exchange
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.
00:00
Transcript
Play full episode
Remember Everything You Learn from Podcasts
Save insights instantly, chat with episodes, and build lasting knowledge - all powered by AI.