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Monte Carlo and Writing Calls

ValueSeeker

Joined
3/8/11
Messages
24
Points
11
I recently have been trying to develop trading strategies based on disparities in my forecast of the volatility of stocks. I am assembling a way to write calls and do a statistical arbitrage using Monte Carlo. I already have built the model based on a random walk but I would like to know how people were engaging in trades for implied volatility. What is your strategy to trade on the volatility?

Any feedback is certainly helpful!
Thanks in advance.
 
That was an enjoyable read to reinforce K.I.S.S and the book looks good too. However, I am mostly interested in setting up the strategy of shorting a call and somehow dynamically hedging my possible downside if the stock goes ITM or another method to offset potential downside. Any suggestions ?

Thanks for the feedback so far!
 
I find your post sort of hard to follow. You're going to write the call because it's mispriced based on your volatility forecast? Where do random walks and monte carlo fit into this? What exactly are you asking about volatility trading?
 
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