Keeping it Simple on the Road | Ep. 2: I'll Take Two, Utah... Two!
Keeping it Simple with Simplify Asset Management
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Long Dated Variance Contracts - Is That Really What You Meaned?
Ten years ago to day, if you had been making a bet on what the long term volatility in the equity markets was supposed to be, the street was telling you it was somewhere in the neighborhood of 30, 35, forty five % every single day. Now we're looking at a situation where the high levels of implied volatility, even though they are not outrageous versus where we are in history, are creating conditions where people basically have to go shorter and shorter dated on my options. That is constantly releasing the pressure on the dealers from that negative gama component. So i do think that there are meaningful components associated with the dealer behaviours in the positive gamma versus negative gamma, a sort of routine.
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