abstract:In finance, volatility arbitrage (or vol arb) is a type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlier. The objective is to take advantage of differences between the implied volatility of the option, and a forecast of future realized volatility of the option's underlier.
He is a volatilityarbitrage specialist who trades volatility as an asset class in an effort to take advantage of inefficiencies in the options markets.