{"id":2469,"date":"2017-07-01T16:53:06","date_gmt":"2017-07-01T08:53:06","guid":{"rendered":"https:\/\/boweihe.me\/?p=2469"},"modified":"2017-07-01T16:53:06","modified_gmt":"2017-07-01T08:53:06","slug":"volatility-spreads-two-general-guidance","status":"publish","type":"post","link":"https:\/\/dayandcarrot.space\/?p=2469","title":{"rendered":"Volatility Spreads &#8211; Two General Guidance"},"content":{"rendered":"<p>Here I excerpt two useful sections in Chapter 12 of the book <em>Option Volatility &amp; Pricing<\/em>.<\/p>\n<h5>Choosing an Appropriate Strategy<\/h5>\n<blockquote>\n<p style=\"padding-left: 30px;\">If implied volatility is low, such that options generally appear underpriced, look for spreads with a positive vega. If implied volatility is high, such that options generally appear overpriced, look for spreads with a negative vega.<\/p>\n<\/blockquote>\n<p>&nbsp;<\/p>\n<blockquote><p>Long calendar spreads are likely to be profitable when implied volatility is low but is expected to rise; short calendar spreads are likely to be profitable when implied volatility is high but is expected to fall.<\/p><\/blockquote>\n","protected":false},"excerpt":{"rendered":"<p>Here I excerpt two useful sections in Chapter 12 of the book Option Volatility &amp; Pricing. Choosing an Appropriate Strategy If implied volatility is low, such that options generally appear underpriced, look for spreads with a positive vega. If implied volatility is high, such that options generally appear overpriced, look for spreads with a negative [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[4],"tags":[71],"class_list":["post-2469","post","type-post","status-publish","format-standard","hentry","category-study","tag-market-making"],"_links":{"self":[{"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/posts\/2469","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=2469"}],"version-history":[{"count":0,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=\/wp\/v2\/posts\/2469\/revisions"}],"wp:attachment":[{"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2469"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2469"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dayandcarrot.space\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2469"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}