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.
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https://notion.moontowermeta.com/trading-volatility-correlation-term-structure-and-skew