242: Kris Sidial - Volatility Shocks: Positioning for Convex Payouts
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Portfolio Insurance - What Percentage of the Portfolio Does This Portfolio Insurance Make?
In your volatility fund, what percentage of the entire portfolio does this portfolio insurance make? I don't think you could really view it in that way. If you have like ten % allocated, and let's say those options go 50 times, right? That's like a five x return on the entire portfolio. And you're just using options to acquire this. So we're not doing anything that are like, at the money options or anything like that. It's really, really deep options.
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