Research on options, hedging, volatility models, and the cost of carrying protection.
Curated by Signal & Evidence. Read our research approach for how we distinguish author findings from house tests.
Higher-order surface dynamics help explain curvature. The improvement is much smaller for the whole smile.
Study: Beyond the Skew-Stickiness Ratio: Transport Geometry of Spot-Driven Variance Surface Dynamics
An industry white paper uses curve disorder to switch between equity and volatility futures.
Study: The Squid Programs: Trading the VIX Curve. Dynamic volatility using the VIX term structure.
A framework for combining puts and trend without mistaking simulation weights for an allocation rule.
Study: Tail Risk Management with Puts and Trend Following: A CVaR Framework for Crashes and Drawdowns
