x T x skew squared), where T is time to maturity and skew = [implied vol at strike 90 - implied vol at strike 100 ]/[ 90 - 100]. For more details see Derman’s 1999 paper: More than you ever wanted to know about volatility swaps. Chart 28: GBPUSD short-dated (1 wk) implied has reached its 92"! 4yr percent

When physical scientists tackles the social sciences they often seek laws like the laws of physics, and their models end up simplifying the object. Derman has a new book out about the perils of modeling in which he creates this taxonomy: Theories are attempts to discover the principles that drive the w