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ArbitraŻ ZmiennoŚci (Seria Master Option Trader): Instytucjonalne strategie opcji: zmiennośc implikowana vs zrealizowana, strategie Veg
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ISBN13: 9798252067759
Publisher: Independently Published
Published: Mar 14 2026
Pages: 232
Weight: 0.70
Height: 0.49 Width: 6.00 Depth: 9.00
Language: Polish
Publisher: Independently Published
Published: Mar 14 2026
Pages: 232
Weight: 0.70
Height: 0.49 Width: 6.00 Depth: 9.00
Language: Polish
Większośc traderów, którzy nazywają siebie arbitrażystami zmienności, w rzeczywistości zarządza kierunkowymi pozycjami na zmiennośc, ukrywając je pod językiem arbitrażu. Ta książka to koryguje. Calkowicie. Arbitraż zmienności nie polega na przewidywaniu, czy zmiennośc wzrośnie czy spadnie. Chodzi o rozpoznanie momentu, w którym jedna częśc powierzchni zmienności jest blędnie wyceniona względem innej, oraz systematyczne wykorzystanie tego spreadu, zanim się zamknie. Ta zmiana od myślenia absolutnego do relatywnego stanowi linię podzialu między detalicznym tradingiem opcji a instytucjonalnym tradingiem zmienności.
Arbitraż zmienności, Książka 2 z serii Master Option Trader, uczy jak wdrożyc ten framework na poziomie instytucjonalnym. Spready kalendarzowe, struktury diagonalne, ratio trades, arbitraż dyspersji i korelacji, ryzyko vega w wielu terminach zapadalności oraz pelna mechanika struktury terminowej VIX w tym szczególowe studium przypadku zdarzenia backwardation z 5 sierpnia 2024 r., najbardziej ekstremalnego odczytu nachylenia struktury terminowej poza kryzysem z 2008 roku i okresem COVID.
W środku:
- Powierzchnia zmienności: geometria, krzywizna, nachylenie i sygnaly znieksztalceń
- Spready kalendarzowe, diagonale i ratio spready budowane pod realizację wartości relatywnej
- Arbitraż dyspersji i implikowanej korelacji instytucjonalny framework
- Transakcje konwergencji struktury terminowej VIX: wejście, skalowanie pozycji i dyscyplina wyjścia
- Osiem ukrytych zabójców pozycji wieloterminowych i jak rozpoznac je zanim zaczną kosztowac pieniądze
- Vol Arb Operating System: workflow przed transakcją, macierz szoków i skalowanie pozycji wedlug prawdopodobieństwa przetrwania
- Symulacja Monte Carlo powierzchni zmienności do oceny ryzyka trajektorii
Theta nie jest przewagą. Przewagą jest blędna wycena.
Ta książka uczy, jak ją znaleźc, jak skalowac pozycję i jak ją systematycznie wykorzystywac oraz kiedy pozostac poza rynkiem, gdy warunki czynią transakcję niebezpieczną. Dla traderów, którzy ukończyli Książkę 1 i są gotowi przejśc od konweksji do powierzchni zmienności.
W środku:
- Powierzchnia zmienności: geometria, krzywizna, nachylenie i sygnaly znieksztalceń
- Spready kalendarzowe, diagonale i ratio spready budowane pod realizację wartości relatywnej
- Arbitraż dyspersji i implikowanej korelacji instytucjonalny framework
- Transakcje konwergencji struktury terminowej VIX: wejście, skalowanie pozycji i dyscyplina wyjścia
- Osiem ukrytych zabójców pozycji wieloterminowych i jak rozpoznac je zanim zaczną kosztowac pieniądze
- Vol Arb Operating System: workflow przed transakcją, macierz szoków i skalowanie pozycji wedlug prawdopodobieństwa przetrwania
- Symulacja Monte Carlo powierzchni zmienności do oceny ryzyka trajektorii
Theta nie jest przewagą. Przewagą jest blędna wycena.
Ta książka uczy, jak ją znaleźc, jak skalowac pozycję i jak ją systematycznie wykorzystywac oraz kiedy pozostac poza rynkiem, gdy warunki czynią transakcję niebezpieczną. Dla traderów, którzy ukończyli Książkę 1 i są gotowi przejśc od konweksji do powierzchni zmienności.
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