AI-powered
podcast player
Listen to all your favourite podcasts with AI-powered features
4min chapter
Dr. Benn Eifert - Bad Ideas (S3E3)
Flirting with Models
The Market Makers and Volatility Arbitrage Players in the Market
Short end of the curve by big real money institutions call of writing strategies and put underwriting strategies so what's the mechanics of that. A large institutional investor maybe via a manager that they use sells a whole bunch of call options one month 20 30 delta call options to a market maker. When the market goes up we get longer equity market exposure because we're long a call option that's convex with respect to the market. In order to hedge the new long market exposure that we get we have to sell futures or sell the underlying equity, when the market goes down we get shorter as a result of being a long convexity.
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