Summary: 1
Trading Market Volatility
Marco Avellaneda
Finance Concepts
49-51 Avenue Victor Hugo
75116 Paris
marco.avellaneda@finance-concepts.com
Harcourt Quarterly Hedge Fund Presentation
Paris, November 2004
Updated January 2005
Volatility Trading in a Nutshell
· Long volatility: buy call option, sell shares
buy put option, buy shares
· Short volatility: sell call option, buy shares
sell put option, sell shares
Long Vol Short Vol
2
SP 500 June05 1125 Call
Vol=16%
0
