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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 ...
CBOE Volatility Index (VIX) from December 1985 to May 2012 (daily closings) 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.
In finance, volume-weighted average price (VWAP) is the ratio of the value of a security or financial asset traded to the total volume of transactions during a trading session. It is a measure of the average trading price for the period. [1] Typically, the indicator is computed for one day, but it can be measured between any two points in time.
The US dollar (DX=F, DX-Y.NYB) on Tuesday traded near the lows it experienced the day prior as investors weighed the latest tariff talk from President Trump.On Monday, the dollar index experienced ...
These revisions, the "Fundamental Review of the Trading Book", address deficiencies relating to the existing Internal models and Standardised approach for the calculation of market-risk capital, and in particular discuss the following: Boundary between the "Trading book" and the "Banking book"
“The issue of dispersion or what a lot of people call the K-shaped economy, where the rich are doing better, but the poor continue to struggle — that was very well understood by President ...
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%.