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F# for Quantitative Finance by Johan Astborg

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Learning directional trading strategies

Directional trading in volatility means trading in the direction of the volatility. If the volatility is high, we may initiate a short trade in volatility. In this section, we'll first look at how to trade volatility using option strategies. Then, using an option and the underlying price to trade volatility, we'll look at the VIX index and the delta neutral position.

Trading volatility using options

One way of trading volatility is to use options. We'll look at two option strategies for trading volatility or price movement in the underlying option.

Trading the straddle

The straddle position consists of two options: one put and one call. Straddles are useful when the viewpoint of the underlying market is neutral, ...

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