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Podcast: Olivier Daviaud on P&L attribution for options

JP Morgan quant discusses his alternative to Greeks decomposition ....

Societe Generale , Olivier Daviaud , Abhishek Mukhopadhyay , Jp Morgan , Cross Gamma , Delta Hedging , Implied Volatility , Option Pricing , P Ampl Attribution Test , Performance Attribution , Profit Amp Lossp Ampl , Realised Volatility , Cutting Edge ,

Rethinking P&L attribution for options

A buy-side perspective on how to decompose the P&L of index options is presented ....

France General , Poitou Charentes , United States , Gatheral Jacquier , Olivier Daviaud , Daviaud Mukhopadhyay , Aldous Diaconis , Guyon Henry Labord , Chapman Hall , Carr Wu , Jpmorgan Chase Co , Jp Morgan , Black Scholes Gamma , Gamma Covariance , Mathematical Monthly , Volatility Surface , Recent Advances , Applied Probability , Delta Hedging , Implied Volatility , Option Pricing , Performance Attribution , Profit Amp Lossp Ampl , Realised Volatility , Trading Strategy , Cutting Edge ,

FX options traders rethink vol drivers amid macro uncertainty

Market-makers believe more and more events will influence options pricing as political risk bubbles up during 2024 ....

Logan Campbell , Nikki Hayley , Joe Biden , Donald Trump , Nikki Haley , Henry Drysdale , Market Committee , Deutsche Bank , Federal Open Market , Natwest Markets , Joe Biden , Federal Open Market Committee Fomc , Nited States Us , Central Banks , Chinese Renminbi Rmb , Liquet Options , Consumer Price Index Cpi , Currency Options , Foreign Exchange , Interest Rates , Mexican Peso , Option Pricing , Political Risk , Realised Volatility , United States Dollar , Urrency Markets ,

Bitcoin Volatility Will Spike By End 2022, But Which Way?

Bitcoin (BTC) is stuck at its current levels, but the market might begin moving again before 2023 makes its entry with a chance for some profits. ....

Bitfinex Alpha , Realised Volatility , Monthly Realised Volatility ,

'Perfect' VKO trades knock the smile off vol

Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic ....

United Kingdom , Eric Barthe , Think Foinavon , Leicester City , Equity Derivatives , Index Options , Exotic Options , Put Options , Implied Volatility , Volatility Skew , Volatility Smile , Realised Volatility , S Ampp 500 ,