96 - Real Talk with Real Traders: Mark Anderson
The Trade Busters
00:00
The Effect of Market Structure on Hedging Obligations
Vanna: I think there's a very observed phenomenon based on Vanna. So like if we like during the banking crisis, everyone had to buy hedges. Like those hedges when nothing happened, that decay on the puts was just brutal for anyone holding it. It's like I think puts outperforming the last hour because implied volatility at the money is the most accurate predictor of price move. And then you have an additional amount, but basically data and gamma at the end of day, plus you can sell pure volatility premium - nickel wings.
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