5min chapter

Alpha Exchange cover image

Roni Israelov, President and CIO: NDVR

Alpha Exchange

CHAPTER

The Root Cause of Observed Timing Luck

The put spread collar is consistent with my risk preferences, but I don't want to get lucky or unlucky. What are some of the remedies for the observed timing luck that you guys have published on? Let me just add one thing before remedies. The call strike that is self financing at the time that the puts spread collar depends upon market conditions. But skew matters, interest rates matter, dividends matter. It's just that interest rates and dividends tend to move more slowly between rebalance cycles versus volatility.

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