Benn Eifert - Volatility Investing (S2E2)
Flirting with Models
Option Markets
There's been a very substantial growth index call overwriting and index cash secured put selling among pension funds trying to generate income relative to their equity portfolios. That segways nicely int sort of the next area i want to talk about with relative value, which is coming from more of the quant equity space. We would look at something and say, well, this is either a risk premium, or maybe a behavior anomaly that we're trying to exploit the misbehavior of other investors. And then you can imagine it becoming too plar and over some number of years than the pendulum swinging the other way. I wouldn't say that there's many risk premia that you would expect in the
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