Интересные статьи об опционах

Artemis capital management. The allegory of the hawk and serpent.

Covered Call Strategies - One Fact and Eight Myths.

AQR Tail Risk Hedging Contrasting Put and Trend Strategies.

M. Sundberg. Challenges of Indexation in S&P 500 Index Volatility Investment Strategies.

M. Avellaneda & A. Papanicolaou. Statistics of VIX Futures and Applications to Trading Exchange-Traded Products.

Gamma exposure. Интересный способ использования опционов для оценки будущей волатильности базового актива.

Christopher R. Cole, CFA. What is Water in Markets?

Tim Edwards. Reading VIX: Does VIX Predict Future Volatility?

Marcel Prokopczuk. Variance Risk Premia in Commodity Markets.  

John M. Griffin.  Manipulation in the VIX? 

Nick Mocciolo.  The Cost of Black-Scholes.

Yuming Wang and  Jinpeng Ma. Excess volatility and the cross-section of stock returns. 

Boris Lerner and Christopher Metli.  VIX -  The Art of Hedging.

Dissecting the iPath S&P 500 VIX Short-Term Futures ETN (VXX).

Chrilly Donninger.  VIX Futures Basis Trading: The Calvados-Strategy 2.0.

Tony Cooper.  Easy Volatility Investing.

Volatility Exchange-Traded Notes: Curse or Cure?

Carol Alexander and Dimitris Korovilas.  Understanding ETNs on VIX Futures.

Patrick Augustin.  How do Informed Investors Trade in the Options Market?

Z. George Yang. Buy-Write or Put-Write, An Active Index Writing Portfolio to Strike it Right

Robert G. Tompkins. Implied volatility surfaces: uncovering regularities for options on financial futures.

David P. Simon, Jim Campasano.  The VIX Futures Basis: Evidence and Trading Strategies.

Goldman Sachs. The Art of Put Selling: A 10 year study.

Juan Aguirre Bueno. Trading the volatility skew of the options on the S&P index.

Espen Gaarder Haug, Nassim Nicholas Taleb. Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula.

Charles J. Corrado. Why we have always used the Black-Scholes-Merton option pricing formula.

Espen Gaarder Haug, Nassim Nicholas Taleb. Option traders use (very) sophisticated heuristics, never the Black–Scholes–Merton formula.

J. Scott Chaput, Louis H. Ederington. Vertical spread design.

J. Scott Chaput, Louis H. Ederington. Volatility trade design.

J. Scott Chaput, Louis H. Ederington. Option Spread and Combination Trading.

Sophie Xiaoyan Ni, NeilD. Pearson, Allen M. Poteshman. Stock Price Clustering on Option Expiration Dates.

Gautam Kaul, M. Nimalendran, Donghang Zhang. Informed Trading and Option Spreads.

Louis H.Ederington, Wei Guan. Forecasting Volatility.

R.J. O’Brien research. De–Mystifying the “greeks”.

R.J. O’Brien research. Trading near-expiration options in agricultural commodities.

R.J. O’Brien research. Volatility trading in agricultural options.

R.J. O’Brien research. Digging deeper into the volatility aspects of agricultural options.