Benn Eifert - Volatility Investing (S2E2)
Flirting with Models
Buying Volatility and Hedging Isn't That Bad, Right?
i think our view is that the expected returns in those kind of strategies are falling very, very fast and really changing gamma risk premium. Bu buying volatility and hedging is pretty much always something you expect to cost you money. But at some point, if implied volatility is, you know, 12 or something, that's not going to be your biggest risk over time.
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