I don't have much exposure to non-linear derivatives, let's say I'm trading the front month options, forget the exposure across the vol surface, I'm just looking at front month for this scenario. If I'm trading solely the IV vs RV and hedging out my deltas and regardless what my gamma/vega exposures are, at the end of the day, isn't that still directional in terms of where I think the IV is heading towards?
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Comments (19)
Your mark to market is directional based on the IV. If you sell 20vol and implied goes to 30 you'll show a loss, but if realized vol is 17 you continuously delta hedge you will make a profit
The real question is what volatility you plug into your model to determine your gamma/theta ratio as it will have a big effect on when you hedge. using a realiZed volatility forecast vs the market implied will lead to more pnl volatility but also potentially more profit if your forecast is Correct
Appreciate it. Let's say you were able to create something using a tick data and create your own projection of the RV and say, your projection was right and you deemed IV was overly rich, will it approach the RV, as you continuously maintain your delta hedge?
There are many many options market making firms, is it possible these guys are using the same pricing model? For the linear derivatives, as long as there is liquidity, you may, not always, could possibly use linear interp and various points across curve using net changes to price something. But how is it with options? I assume they don't use plain vanilla B/S
There's no reason it has to approach the rv, because it's always a forecast for the remaining time. Imagine you've been delta hedging an option for months, but the expiry is in 1 day and it's a FEd meeting. The implied vol might be something stupid like 40%, but since the time to expiry is small it's not that big of a deal since market makers will price it based on how much they think things can move.
Regarding market makers models, everyone can calculate realiZed volatility and see if implied is rich or not, and forecasting vol is an art not a science and everyone has their own methods and models.
No such thing as not directional.
Even if you're short options and delta hedged, you, you want to be short the strikes where you think spot will end up to maximize your pnl.
绝对很难说话，但总的来说，不想对冲您的所有曝光伽玛/Vega暴露，因为您永远不会赚钱。您根据自己的市场观点构建书籍，并确定想要和不想要的风险
So if risk premia is embedded in the pricing, then where is the trading trading and I'm not talking about providing liquidity, I'm talking about legit long/short volatility portfolio just like hedge funds.
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Learn moreNot sure what you mean. You can Be long call and short puts, long oil vol short natty vol, long front month short back month, and even just the decision to have any position or not. You can be taking a view on just the implieds (Vega) which is usually done with long term options, and gamma is usually traded with shorter dated options. There's an infinite number of "trading" combinations you can do based on your views
是的。一旦开始对冲，您实际上就处于波动性的长度/短位置。如果您对波动率的估计与前柱实际波动率不同，假设没有交易成本和持续的对冲，那么这两个vols之间的差异将完全是您的选项PNL和对冲PNL之间的差异。降低定向风险的典型位置是呼叫和put，例如，跨越，勒死的风险。
Vol Traders根本使用它吗？当我更深入地挖掘时，这就是我在平台上发现的。IV ...的实际图表
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