Alpha Exchange cover image

Roni Israelov, President and CIO: NDVR

Alpha Exchange

CHAPTER

The Negative Skewness of Short Vol Positions

The 25 delta put with certain gamma and Vega characteristics that you purchase as protection becomes something entirely different. Short vol positions, I think you'll agree have a decidedly negative skew profile to it. So there's sort of some swapping of that vol risk premium that you enjoy, but being short can be nasty. Just ask long term capital management.

00:00
Transcript
Play full episode

Remember Everything You Learn from Podcasts

Save insights instantly, chat with episodes, and build lasting knowledge - all powered by AI.
App store bannerPlay store banner