Notes on Trading Volatility: Correlation, Term Structure, and Skew

Trading Volatility: Correlation, Term Structure, and Skew
Colin Bennett

http://trading-volatility.com/Trading-Volatility.pdf

The book is a broad reference on basic option theory, dispersion, and exotic options. It includes practical insight into managing a hedged book with a focus on correlation, term structure, and skew.

In addition its appendix includes the following topics and more:

• a taxonomy of historical vol computations including and how they rank on “bias” and “efficiency”
• shadow greeks
• cap structure arbitrage theory

It’s an outstanding reference so I took notes. For public sharing I re-factored them by topic and tied some back to my own investment writing.

You can find these edited notes in my public Notion page. Link