PinnedHarel JacobsonTurbocharging Derivatives — Variance, Convexity, and Everything in BetweenA deep dive down the foundations of variance, volatility, convexity, and additivity to understand how derivatives offer a hefty leverageOct 27, 20217Oct 27, 20217
Harel JacobsonA Tidal Wave — Beginners Guide to FX Volatility Cycles IVery much like ebb and tide financial market volatility oscillates between regimes of highs and lows.Mar 242Mar 242
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 dynamicOct 7, 20222Oct 7, 20222
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 dynamicOct 4, 20221Oct 4, 20221
Harel Jacobson(Almost) Everything You Wanted To Know About FX Volatility Smile (Part I) — Intro to the FX MarketIn this trilogy we will dip our toes into the ocean that is the FX derivatives space and the volatility surface dynamic.Sep 29, 20223Sep 29, 20223
Harel JacobsonBack 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” — ConfuciusJun 11, 2022Jun 11, 2022
Harel JacobsonThink Like a Market Maker — Understanding Implied VolatilityAny option trader who focuses on volatility trading will tell you that the price of volatility is the single-most-important factor in…Mar 5, 20225Mar 5, 20225
Harel JacobsonTrading Volatility Roughness — Rethinking Statistical ArbitrageMarket neutral strategies account for a significant part of quant-based strategies. Just think about your typical equity long-short/pair…Oct 15, 20212Oct 15, 20212
Harel JacobsonVolatility 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, 20211Aug 17, 20211