Volatility — CMRA

Experts on volatility trading, and on volatility and variance swaps.
- Expert in fixed income, equity, FX and commodity markets
- Specialized in volatility term structure and term structure modeling
- 1980s pioneer in caps, collars and swaptions
Consultants in multiple matters relating to strategies employing the sale of volatility through options or swaps in equity markets, in fixed income, in FX and in commodities.
- Including due diligence, oversight and execution of volatility-based strategies
Consultants in risk management strategies employing the purchase of volatility through options, swaptions, caps and floors in fixed income markets and in options in equity markets.
- Stress testing of out of the money equity and fixed income options for risk management
- Managed a $1,000 billion mortgage portfolio hedged with swaptions
Valuation of out-of-the-money FX cross-rate options
Experts in exotic options and swaps, including:
- Valuation of binary slope-of-the-yield-curve contracts
- Valuation of knock-out and knock-in contracts
- Cellphone population units embedded in contracts
- Compensation dispute related to the profitability of a long-dated option
Analysis of relationship between energy options implied volatility and the real economy

VIX vs V2X in 2 yrs

3D vol surface of SPX index on March 9, 2020

3D vol surface of SPX index on Feb 24, 2022