AI-powered
podcast player
Listen to all your favourite podcasts with AI-powered features
5min chapter
Options, volatility, and the things we don't know we don't know (ARCHIVES S3E3)
Flirting with Models
Is a Variance Swap a Good Idea?
When I look at something like realize volatility minus VIX it seems like a great trade over the long run so what am I missing out on here. Even before the March 2020 blow up that premium had compressed to just about zero in terms of where was implied versus subsequent realized volatility until things got ugly in March. The jury is still out on whether or not risk premium will change going forward and we can talk more about that later this year.
00:00
Transcript
Episode notes
Get the Snipd
podcast app
Unlock the knowledge in podcasts with the podcast player of the future.
AI-powered
Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode
Save any
moment
Hear something you like? Tap your headphones to save it with AI-generated key takeaways
Share
& Export
Send highlights to Twitter, WhatsApp or export them to Notion, Readwise & more
AI-powered
podcast player
Listen to all your favourite podcasts with AI-powered features
Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode