is to explore whether volatility arbitrage strategy can provide positive profits and how the transaction costs existed in … the real market affect the effectiveness of volatility arbitrage strategy. Design/methodology/approach A number of hedging … The general finding is that volatility arbitrage strategy can provide satisfactory returns based on the samples in Chinese …

We examine the presence and performance of volatility arbitrage opportunities around earnings announcements using daily … monotonic fashion, which is different from findings in prior literature. The predictable drift generates a volatility arbitrage …