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Garrett DeSimone, Head of Quantitative Research at OptionMetrics

Alpha Exchange

CHAPTER

Exploring Portfolio Scaling with Implied Downside Volatility and the Role of Vanna in Options Trading

The chapter discusses a research study on portfolio scaling using implied downside volatility, evaluates stock market sentiment through put skew, and explores second-order Greeks like Vanna. The speakers emphasize the complexity and importance of Vanna in high volatility environments and how negative Vanna positions can impact market dynamics and hedging strategies.

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