Managing Long-Term Equity Option-Implied Volatility Risk
Document ID: 2005-776 (previously 2005/001)
Published on: 1st January 2005
Author: Craig Turnbull, Piers Lowson
By recent historical standards, implied volatilities on UK Equity Index options are at very low levels. There are a number of different approaches that can be taken to obtaining exposure to option-implied volatility changes from capital markets. This note discusses the various options available to hedge out implied volatility risk in a realistic balance sheet.
