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Harel Jacobson

Turbocharging Derivatives — Variance, Convexity, and Everything in Between

A deep dive down the foundations of variance, volatility, convexity, and additivity to understand how derivatives offer a hefty leverage

Oct 27, 2021

Turbocharging Derivatives — Variance, Convexity, and Everything in Between

Oct 27, 2021

Harel Jacobson

A Tidal Wave — Beginners Guide to FX Volatility Cycles I

Very much like ebb and tide financial market volatility oscillates between regimes of highs and lows.

Mar 24

A Tidal Wave — Beginners Guide to FX Volatility Cycles I

Mar 24

Harel Jacobson

(Almost) Everything You Wanted To Know About FX Volatility Smile (Part III) — Options Flows…

The last part of our FX volatility trilogy is going to address the issue of gauging dealers’ positioning and its effect on the vol dynamic

Oct 7, 2022

(Almost) Everything You Wanted To Know About FX Volatility Smile (Part III) — Options Flows…

Oct 7, 2022

Harel Jacobson

(Almost) Everything You Wanted To Know About FX Volatility Smile (Part II) —Exotic options, Vol…

We continue our journey into the FX derivatives… Part II is all about diving deep into exotic options, volatility smile, and dynamic

Oct 4, 2022

(Almost) Everything You Wanted To Know About FX Volatility Smile (Part II) —Exotic options, Vol…

Oct 4, 2022

Harel Jacobson

(Almost) Everything You Wanted To Know About FX Volatility Smile (Part I) — Intro to the FX Market

In this trilogy we will dip our toes into the ocean that is the FX derivatives space and the volatility surface dynamic.

Sep 29, 2022

(Almost) Everything You Wanted To Know About FX Volatility Smile (Part I) — Intro to the FX Market

Sep 29, 2022

Harel Jacobson

Back By Popular Demand — The Rise and Fall (and Rise Again) of the Uridashi Bonds

“Our greatest glory is not in never falling, but in rising every time we fall” — Confucius

Jun 11, 2022

Back By Popular Demand — The Rise and Fall (and Rise Again) of the Uridashi Bonds

Jun 11, 2022

Harel Jacobson

Think Like a Market Maker — Understanding Implied Volatility

Any option trader who focuses on volatility trading will tell you that the price of volatility is the single-most-important factor in…

Mar 5, 2022

Think Like a Market Maker — Understanding Implied Volatility

Mar 5, 2022

Harel Jacobson

Trading Volatility Roughness — Rethinking Statistical Arbitrage

Market neutral strategies account for a significant part of quant-based strategies. Just think about your typical equity long-short/pair…

Oct 15, 2021

Trading Volatility Roughness — Rethinking Statistical Arbitrage

Oct 15, 2021

Harel Jacobson

Can I interest you in NFT² Sir?

Let’s talk securitization….

Sep 19, 2021

Can I interest you in NFT² Sir?

Sep 19, 2021

Harel Jacobson

Volatility Smile and Delta Hedging (Part 2) — Down the rabbit hole of Smile Risk Hedging.

So we continue our journey down the rabbit hole of volatility surface and vega risk exactly where we left off last time (if you want to…

Aug 17, 2021

Volatility Smile and Delta Hedging (Part 2) — Down the rabbit hole of Smile Risk Hedging.

Aug 17, 2021

Harel Jacobson

Harel Jacobson

Global Volatility Trading. Python addict. Bloomberg Junkie. Amateur Boxer and boxing coach (RSB cert.)!No investment advice!

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