SL

Trading Volatility: Correlation, Term Structure and Skew

http://trading-volatility.com/Trading-Volatility.pdf by Colin Bennett

Implied vs Realized

Vol cone shows how realized is more volatile than implied

Vol as a Hedge

Decomposing long vol: A poor hedge even beyond it's expected overpricing

Term Structure

Term structure supply/demand
Looking at variance vs implied vol term structure
Comparing term structures
Relationship of skew and term structure

Skew

Reasons for skew
Measuring skew
Skew is steeper in nearer dated
4 skew regimes and their deltas
Skew trading

Pairs trading

Weighting pair trades

Dispersion and correlation

Structural bid for correlation
Correlation swap trades below implied corr
Weighting dispersion