Options, volatility, and the things we don't know we don't know (ARCHIVES S3E3)
Flirting with Models
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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.
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