Flirting with Models cover image

Devin Anderson – Strategy versus Structure in Tail Hedging (S6E14)

Flirting with Models

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The Convexity Lever of Equity Index Options Since the Financial Crisis

S&P options are convex with respect to many things. The most too important are as the market level itself and then as the implied volatility changes. When you buy an out of the money option as the market goes down, your exposure with respect to spot is getting larger.

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