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Trading Market Volatility Marco Avellaneda
 

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

  

Source: Avellaneda, Marco - Department of Mathematics, Courant Institute of Mathematical Sciences, New York University

 

Collections: Mathematics