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In long dispersion [4] trades, traders short index volatility while going long on individual stock volatility. This strategy counters the market's common assumption about implied correlation. While dispersion trading is a common approach to trading implied correlation, its effectiveness also depends on overall market volatility.
Price dispersion can be viewed as a measure of trading frictions (or, tautologically, as a violation of the law of one price). It is often attributed to consumer search costs or unmeasured attributes (such as the reputation) of the retailing outlets involved. There is a difference between price dispersion and price discrimination. The latter ...
In finance, volatility (usually denoted by "σ") is the degree of variation of a trading price series over time, usually measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices.
A call option is trading at $1.50 with the underlying trading at $42.05. The implied volatility of the option is determined to be 18.0%. A short time later, the option is trading at $2.10 with the underlying at $43.34, yielding an implied volatility of 17.2%.
This options trading strategy is the flipside of the long put, but here the trader sells a put — referred to as “going short” a put — and expects the stock price to be above the strike ...
A variance swap is an over-the-counter financial derivative that allows one to speculate on or hedge risks associated with the magnitude of movement, i.e. volatility, of some underlying product, like an exchange rate, interest rate, or stock index.
Alpaca Trading is not a trading platform. This company offers two services: a brokerage and an application programming interface (API). As a brokerage, Alpaca offers exchange-based products. It ...
Market risk is the risk of losses in positions arising from movements in market variables like prices and volatility. [1] There is no unique classification as each classification may refer to different aspects of market risk.