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Implied Volatility Dynamics

Euan Sinclair

DOI: 10.1002/9781118662724.ch5 (Economics, Econometrics and Finance)
License: not stated (all rights reserved)

Abstract: Implied volatility surface is defined and parameterize and its typical types of movement are examined. As an example of an event-driven volatility trade, trading options before and after earnings announcements are looked at. Various explanations for the shape of the implied volatility curve are discussed.

Published on 25 Mar. 2013