Benn Eifert - Volatility Investing (S2E2)
Flirting with Models
How Do You Measure the Dislocations in Short Term Option Pricing?
A fund coming in and do running a big overright sail on their long large cap equity names portfolio, for example, typically that would come thfd through quickly intothe prices of aboptions on that within that universe. And you'd see a significant reduction in those prices relative to the prices of the small cap energy names, for example. That would trigger an investigation and potentially adding that type of trade to the port oil in a strategy sleeve. But it might be more a question of measuring, but how do you measure those dislocations? How do you track the ebb and flow over time?
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