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Valoarea parității opțiunilor, Volatility arbitrage

Overview[ edit ] To an option trader engaging in volatility arbitrage, an option contract is a way to speculate in the volatility of the underlying rather than a directional bet on the underlying's price.

Dacă ar fi trebuit să definim hedgingul în cea mai simplă manieră ei bine, se reduce la 2 cuvinte… reducerea riscurilor. În esență, aceasta este ideea din spatele tuturor strategiilor de hedging Forex. Hedging definiție: o poziție lansată de un trader pe piață pentru a reduce expunerea la mișcările de preț.

If a trader buys options as part of a delta-neutral portfolio, he is said to be long volatility. If he sells options, he is said to be short volatility.

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So long as the trading is done delta-neutral, buying an option is a bet that the video despre câștigurile pe Opțiunile binare future realized volatility will be high, while selling an option is a bet that future realized volatility will be low.

Because of the put—call parityit doesn't matter if the options traded are calls or puts.

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This is true because put-call parity posits a risk neutral equivalence relationship between a call, a put and some amount of the underlying. Therefore, being long a delta- hedged call results in the same returns as being long a delta-hedged valoarea parității opțiunilor.

Volatility arbitrage is not "true economic arbitrage" in the sense of a risk-free profit opportunity.

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It relies on predicting the future direction of implied volatility. Even portfolio based volatility arbitrage approaches which seek to "diversify" volatility risk can experience " black swan " events when changes in implied volatility are correlated across multiple securities and even markets.

Long Term Capital Management used a volatility arbitrage approach.

Hedging - Ce Înseamnă

Forecast volatility[ edit ] To engage in volatility arbitrage, a trader must first forecast the underlying's future realized volatility. This is typically done by computing the historical daily returns for the underlying for a given past sample such as days the typical number of trading days in a year for the US stock market.

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The trader may also use other factors, such as whether the period was unusually volatile, or if there are going to be unusual events in the near future, to adjust his forecast.

Market implied volatility[ edit ] As described in option valuation techniques, there are a number of factors that are used to determine the theoretical value of an option.

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However, in practice, the only two valoarea parității opțiunilor to the model that change during the day are the price of the underlying and the volatility. Therefore, the theoretical price of an option can be expressed as: C.

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