波动率在期权交易中的特性

Core Viewpoint - Volatility plays a crucial role in options pricing, trading, and risk management, and understanding its characteristics can enhance trading effectiveness [1][2]. Group 1: Characteristics of Volatility - Mean Reversion: Volatility typically oscillates within a certain range, such as the S&P 500's implied volatility usually between 10 to 20. A sudden spike to 30 suggests a likely return to the 10 to 20 range, allowing investors to profit by selling options [1]. - Event-Driven: Significant political and economic events can lead to substantial market volatility. Investors can anticipate these events and employ straddle strategies in the options market to capitalize on expected volatility [2]. - Overestimation of Implied Volatility: Research indicates that implied volatility often exceeds actual volatility, likely due to risk premiums paid by investors to mitigate uncertainty. Thus, selling options can yield stable returns unless a black swan event occurs [2]. - No-Arbitrage Condition: There are correlations between implied volatilities of different options contracts. Investors can create a portfolio by selling a contract with high implied volatility while buying those with lower volatility, potentially achieving risk-free profits [2].