Roni Israelov, President and CIO: NDVR
Alpha Exchange
00:00
The Effect of the Volatility Risk Premium on Options Protection
Analyst: Options on average tend to be expensive relative to an actuarial fair value. The idea that implied vol is high relative to realized vol or the returns that you earn when buying options are negative was just a very robust finding, he says. An option has delta and the delta varies over time as a function of the index level itself. It has exposure to changes in implied volatility and exposure to realized volatility. So these options are pretty complex. And those dynamics have an important impact on the efficacy of that option to deliver tail protection.
Transcript
Play full episode
