May’s unexpected increase in equity market volatility, which led to big mark-to-market losses for some hedge funds, has not dented the variance swaps market, according to dealers. No volume figures on ...

The researchers note that the Black-Scholes model was developed in the 1970s to price simple call and put options, and a key point of the model was that market makers could delta hedge – cancel out ...

In this video, we explore the difference between implied and realized volatility, how the VIX reflects market expectations, and why the “rule of sixteen” helps translate volatility into daily price ...

Stochastic volatility models have revolutionised the field of option pricing by allowing the volatility of an asset to vary randomly over time rather than remain constant. These models have ...

The volatility term structure, which plots implied volatility against different expiration dates for options on the same underlying asset, can reveal when potential catalysts are anticipated by ...

Bitcoin (BTC), the largest cryptocurrency by market capitalization, hit a record-high above $109,000 on Monday, sending both implied volatility and realized volatility to the highest levels since ...

The Bitcoin Implied Volatility Index has fallen to its lowest level since September 2023, hinting at a potential breakout. The short-term holder realized cap drawdown is at -8%, which is historically ...