Why implied volatility is not a forecast
IV is often treated as the market's prediction of future volatility. That framing is misleading. What IV actually represents is the price of uncertainty embedded in the option premium.
Sharing my journey exploring derivatives pricing, volatility modeling, and systematic trading, applying theory through projects and models.
Implementation of the Black-Scholes model for European options with full Greeks computation, payoff diagrams, and volatility surface visualization.
Systematic approach to hedging leveraged long positions with protective puts. IV-based entry criteria and automated position sizing.
Tools for analyzing implied volatility across strike prices and expirations. Volatility smile and term structure visualizations from live data.
IV is often treated as the market's prediction of future volatility. That framing is misleading. What IV actually represents is the price of uncertainty embedded in the option premium.
I built a hedging framework, backtested it, and automated the entry signal. Most of the time, it tells me to do nothing. That silence is the strategy working.
The volatility smile tells you more about market sentiment than any headline. What the skew across strike prices reveals about how participants price tail risk.
Black-Scholes assumes constant volatility and log-normal returns. Markets deliver neither. A look at the assumptions and what practitioners use instead.
Delta, Gamma, Theta, Vega. Most explanations treat them as math. This piece frames them as tools for understanding how your position reacts to change.