Understanding Realized and Unrealized Volatility in Financial Markets

Wayne Himelsein, President and CIO of Logica Capital Advisors, has developed a robust approach to options trading centred on long volatility strategies that balance systematic rigor with human oversight. His methodology involves "gross long volatility," rejecting short volatility trades to ensure full protection during market downturns, and dynamically adjusting positions through a technique he calls "scalping to fund long vol." This process leverages mean-reverting market behaviours to offset the inherent costs of options while maintaining asymmetric risk-reward structures like straddles and strangles.

Supported by extensive quantitative analysis and adaptability to varying volatility regimes, Wayne’s strategies exemplify a nuanced blend of art and science in trading.

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