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Dark, Mysterious & Sexy Volatility

The ACID Capitalist Podcast

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Is There a Risk Framework for Short Data VIX Futures?

The P&L is predicated on a predictable grind lower. So if you have a 20% gap down with sort of like some monster ball spike, which you always have to imagine that you possibly can, even if it's not your likely scenario, right? That you've got a long convexity. You never have a few more convexity in that position. Now, other unintended consequences from the prevalence of the of the P&L and the position sizing in that strategy where, I mean, obviously it's predicatedon a predictable grindLower. And therefore, what's the exposure of something strange, something like very, very severe comes, you know, like we come

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