- Cover
- Title Page
- Copyright
- Dedication
- Preface
- Acknowledgements
- About the Author
- Chapter 1: Introduction
- The Airplane Ticket Trade
- The Bull Cycle
- The Renegades
- Claws of the Bear
- Zugzwang
- The Sceptics
- A Sad Truth
- Common Mistakes
- Imprecise but Effective
- Hedging Against Implausible Scenarios
- A Black Swan in Correlation
- Taking Profits
- The Good, the Bad and the Ugly
- The Great Escape
- Having a Plan
- Trend Following as a Defensive Strategy
- Taking the Offensive
- The Pre-Conditions for Market Crises
- Banks: The Great Multiplier
- A Change in Risk Regime
- Endnotes
- Chapter 2: “Safe” Havens and the Second Leg Down
- Chapter 3: An Overview of Options Strategies
- The Building Blocks: Calls and Puts
- Why Buy a Call or Put?
- The Black–Scholes Equation and Implied Volatility
- The Implied Volatility Skew
- Hedging Small Moves
- Delta Hedging: The Idealised Case
- Practical Limits of Delta Hedging
- Hedging Options with Other Options
- Put and Call Spreads
- Straddles and Strangles
- The Deformable Sheet
- Skew Dynamics for Risky Assets
- The 1×2 Ratio Spread and Its Relatives
- The Batman Trade
- Implied Correlation and the Equity Index Skew
- From Ratios to Butterflies
- Calendar Spreads
- Summary
- Chapter 4: Hedging the Wings
- Taking the Other Side of the 1×2
- Comparing the 25 and 10 Delta Puts
- Hedging Sovereign Bond Risk
- Selling Put Ratio Spreads on the S&P 500
- The Hypothetical Implied Distribution
- Our Findings So Far
- Back-Tests: A Cautionary Note
- A Short Digression: Delta-Neutral or Comfortably Balanced?
- The 665 Put
- Implications of the Square Root Strategy
- Futures vs Spot
- A Dramatic Example
- A Cross-Sectional Study
- The “New” VIX: Model-Independent, Though Not Particularly Intuitive
- The Spot VIX: Oasis or Mirage?
- Migrating to VIX Options
- Reflections on Figure 4.36
- Migrating to Different Markets: The V2X
- Risk-Regime Analysis
- Conditional Performance of Hedging Strategies
- Summary
- Chapter 5: The Long and the Short of It
- Chapter 6: Trend Following as a Portfolio Protection Strategy
- Chapter 7: Strategies for Taking Advantage of a Market Drop
- Chapter 8: “Flash Crashes”, Crises and the Limits of Prediction
- Glossary
- References
- Index
- End User License Agreement
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