AI & Algo Trading

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Being Right is Not Enough: Buying Options to Bet on Higher Realized Volatility

blog.edarchimbaud.com

Being Right is Not Enough: Buying Options to Bet on Higher Realized Volatility

edarchimbaud
Sep 4, 2023
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Share this post

Being Right is Not Enough: Buying Options to Bet on Higher Realized Volatility

blog.edarchimbaud.com
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Original paper

SSRN-id3248500.pdf

Trading rules

  • Sell at-the-money straddle with one month until maturity at bid price.

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