Options and volatility for index-options traders
Option Volatility and Pricing: Advanced Trading Strategies and Techniques
The market maker's introduction to options: greeks, volatility, spreads and risk. A good first read for index-options traders.
The Pricing of Options and Corporate Liabilities
Price an option by dynamically hedging it. Know its assumptions so you know exactly where real markets break them.
Generalized autoregressive conditional heteroskedasticity
GARCH(1,1): volatility clusters and mean-reverts. The baseline volatility model.
A Simple Approximate Long-Memory Model of Realized Volatility
HAR-RV: regress tomorrow's realized vol on daily, weekly and monthly realized vol. A hard-to-beat forecast in a few lines of code.
Variance Risk Premiums
Synthesises variance swap rates from option prices. Implied variance exceeds realized on average: the premium option sellers harvest.
The Volatility Surface: A Practitioner's Guide
Stochastic and local volatility, the SVI parameterization, and how practitioners actually fit and trade the surface.
Arbitrage-free SVI volatility surfaces
How to fit SVI smiles across expiries without calendar or butterfly arbitrage. Directly usable for an index-options vol surface.
Stock price clustering on option expiration dates
Optionable stocks close near strike prices on expiry days, driven by hedge rebalancing and manipulation. Relevant to expiry-day dynamics in Indian index options.
Hedging demand and market intraday momentum
Late-day index momentum is linked to gamma hedging: short-gamma hedgers amplify moves into the close. Relevant wherever index options dominate volume.