Volatility Arbitrage
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High Quality Content by WIKIPEDIA articles! 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. In volatility arbitrage, volatility is used as the unit of relative measure rather than price - that is, traders attempt to buy volatility when it is low and sell volatility when it is high.
