This is a summary of links featured on Quantocracy on Saturday, 07/21/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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The importance of volatility of volatility [SR SV]Options-implied volatility of U.S. equity prices is measured by the volatility index, VIX. Options-implied volatility of volatility is measured by the volatility-of-volatility index, VVIX. Importantly, these two are conceptually and empirically different sources of risk. Hence, there should also be two types of risk premia: one for the uncertainty of volatility and for the uncertainty of variation