what trading strategy to use for volatilities of two assets simultaneously?

losemind · March 5th, 2008, 9:39 pm

Hi all,If we have prediction about the volatilities of two assets tomorrow(through a joint estimation and forecasting), what trading strategy shall I use to trade these volatilities?Thanks

cquand · March 7th, 2008, 8:03 am

Worst-of / Best-of Option on Variance

mizhael · March 7th, 2008, 5:42 pm

QuoteOriginally posted by: cquandWorst-of / Best-of Option on VarianceCan you elaborate a bit more?

cquand · March 10th, 2008, 11:14 am

If you have some volatility views on more than 2 underlying, you now can trade for ex a Best-Of (i.e. you take the best varswap) Put on Var - you will be short vol like for a standard put on var, however the premium is much lower