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2nd Quarter 2010 Volatility Monitor

02 Dec 2010

Article by: John W. Labuszewski
Published by: CME Group
Date: 8 Jul 2010

“Volatility is one of several key inputs into mathematical option on futures pricing models along with market price, strike price, term until expiration and short-term interest rates. While market price movements exert the most obvious impact upon the option premium, volatility remains a very important factor. So much so that many traders strive to predict future levels of volatility and engage in socalled ‘volatility plays’ as a result.

“Traders may ‘buy volatility’ generally by buying options; or, ‘sell volatility’ by selling options, often in concert with the placement of a hedge in the futures market structured by reference to the net delta associated of the option positions.

“This report represents an update of volatility through the 2nd quarter 2010″

Full article (PDF): Link

 
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