Deep Dives
Deep Dives
Deep Dives is for readers who know calls, puts and the Greeks and want what sits underneath: why implied volatility differs by strike and expiry, how put-call parity ties every option to the stock, how professionals hedge delta and scalp gamma, what the variance risk premium is and what the research says about it, how the VIX is actually calculated, and where Black-Scholes gives way to other models. Each piece goes a level further than the matching Pricing article, with worked numbers and the original research named.
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The Volatility Surface and Skew: Smiles, Term Structure, Sticky Strike vs Sticky Delta, and Risk Reversals
Why equity index options trade at different implied volatilities by strike and expiry, how skew appeared after 1987, how desks model surface moves, and what a risk reversal trades.
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Put-Call Parity and Arbitrage: Conversions, Reversals, Box Spreads, and Early Exercise
How put-call parity is derived, how conversions, reversals, and SPX box spreads use it to lend and borrow, and why early exercise and dividends break it for American options.
Read the explainer →Pricing Models Beyond Black-Scholes: Binomial Trees, Local Volatility, Heston, and Jumps
How professionals price options when Black-Scholes is not enough: Cox-Ross-Rubinstein trees, Dupire local volatility, Heston stochastic volatility, and Merton jumps, with worked numbers.
Read the explainer →Delta Hedging and Gamma Scalping: How a Hedged Option Makes or Loses Money
Why a delta-hedged option's P&L is gamma against theta, how realized versus implied volatility decides the result, and what hedging frequency, costs, and jumps do, with simulations.
Read the explainer →The Variance Risk Premium: Why Implied Volatility Usually Exceeds Realized Volatility
Why index options usually price more volatility than later occurs, how the gap is measured with variance swaps, what Carr and Wu and Bakshi and Kapadia found, and the crash risk behind it.
Read the explainer →The VIX in Depth: The Formula, the Futures Curve, SOQ Settlement, and Why VIX ETPs Decay
How Cboe calculates the VIX from a strip of SPX options, a worked calculation, how VIX futures and options settle to the SOQ, the term structure, and why long VIX products lose value.
Read the explainer →Earnings and the Implied Move: Straddle Math, IV Crush, and Whether Options Overprice Earnings
How to read the move options price for an earnings report, how to separate event volatility from normal volatility, why IV collapses afterward, and what the research says about pricing.
Read the explainer →Portfolio Margin Explained: Reg T vs Risk-Based Margin, OCC TIMS, FINRA 4210(g), and CIRO
How risk-based portfolio margin differs from strategy-based (Reg T) margin for options, how FINRA Rule 4210(g) and OCC's TIMS work, worked examples, and Canada's CIRO rules as of 2026.
Read the explainer →Dispersion and Correlation Trading: Implied Correlation, COR3M, and How the Trade Works
Why index options price more volatility than their stocks justify, how Cboe's implied correlation index is calculated, and how dispersion trades are built, sized, and broken.
Read the explainer →Exotic Options Explained: Barriers, Digitals, Asians, Lookbacks, and the Notes Built From Them
How barrier, digital, Asian, and lookback options work and are priced, with worked numbers, and how they end up inside retail structured notes that FINRA has repeatedly flagged.
Read the explainer →Early Exercise and Dividend Capture: When Exercising Early Is Rational, and the Dividend Play
Merton's rule that calls should not be exercised early, the dividend exception with an exact test, when puts should be exercised, and how dividend plays exploit OCC assignment.
Read the explainer →Volatility Term Structure and Events: Contango, Inversion, Event Vol, and FOMC and CPI Weeklies
How implied volatility varies by expiry, how to extract forward and event-day volatility from two expiries, how FOMC and CPI show up in short-dated SPX vol, and calendars as vol trades.
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