Scientific journal
Научное обозрение. Экономические науки
ISSN 2500-3410
ПИ №ФС77-57503

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MODELLING THE DYNAMICSOF OPTIONS IMPLIED VOLATILITY CURVE

Zayats S.A. 1 Volkov A.K. 1
1 Plekhanov Russian University of Economics
The article covers derivatives trading on the stock market. Features of options’ volatility curve are reviewed. The article demonstrates the importance of dynamic interpretation of market data in daily work. The article provides a method of optimizing the coefficients for the effects of hedging volatility to maintain delta-neutral strategies with options. Correction of delta-hedging coefficient based on Vega is especially useful for the most sensitive, and at the same time more popular, option strategies like spreads. Option are spreads divided into horizontal, vertical and diagonal spreads: horizontal spread consists usually of options of the same type and the same strike price but different expiration dates; vertical options normally consist of different types; diagonal spread consists of options of the same type but with different strike prices and expiration dates.