Dean Curnutt: Market Insurance Is Cheap, Stock-Bond Correlation Is Positive, And “Interesting” VIX Opportunities
Forward Guidance
Skew and Volatility: Unique Market Dynamics in 2022
This chapter delves into the unusual volatility dynamics observed in the market in 2022, particularly focusing on skew and implied volatility. The speakers analyze the relative expensiveness of being long at a China ETF based on skew and outer prices, as well as the term structure and skew of the S&P 500 vol space. They discuss the impact of realized volatility, up moves versus down moves, and the flattened skew in option pricing, highlighting the value of upside calls in an upward trending market.
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