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Volatility Regime Analysis 1 by Atish Katyal is a document available to read on EtoBox.
What is Volatility Regime Analysis 1 about?
The document analyzes the relationships between VIX, skew, and term structure in S&P 500 options over 1,252 trading days from April 2021 to April 2026. It finds that VIX is the most significant predictor of S&P 500 volatility, explaining a large portion of variations in term structure slope and risk reversal pricing, with high regime persistence indicating actionable trading strategies. Key findings include the quadratic relationship between VIX and term structure slopes, the linear scaling of skew measures
- Author
- Atish Katyal
- Language
- EN