Welcome

Welcome to Dirty Vol Quant, my name is Jason DiBiase. Below you can find my latest blog/research posts.

GitHub · LinkedIn


Posts

(In Progress Not Finished) Fixed Strike Volatility, Floating Strike Volatility, Spot Vol Dynamics And The Skew Stickiness Ratio Part 1

Intro Today I want to talk about some topics in the volatility space that confused me for a long time but are extremely important to understanding volatility modeling and volatility trading nomenclature. The terms fix... Read more…

Volatility Surface Risk Premiums: Variance, Skewness, and Vol-of-Vol in S&P 500 Options

Intro Read more…