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2min chapter
Benn Eifert - Volatility Investing (S2E2)
Flirting with Models
The Star Wars Model for Volatility Markets
There are some analogues in traditional factor investing to what goes on in the equity option space. Strategies for income certainly are expressions of a carry style, right? They see that income slowly eroded if the underlyingis starting to move around a lot. And similarly, strategies that sell futures, like x i v, before it blew up in february of last year, earn carry from the typical upward sloping shape of the term structure of implied volatility. That's a very clear analogue, i think. You know, outside of that, i think that you see much less of the language of style premiu broadly applied to to volatility markets.
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