20. Benn Eifert
Mutiny Investing Podcast
How to Trade a Dispersion Trade?
The volatility of the weighted basket of names will always be higher than the volatility of the index, right? And so that washes out at the index level. But if you own all those individual name options, you're benefiting, benefiting from that,. As correlation approaches one, that weighted average single name volatility will start to look almost the same as the index volatility and there can be dislocations on either side. Now, we didn't think it was historically we've been very, very involved in that space. We just thought it wasn't that interesting. It was over trafficked and no risk premium in 2017, 2018, 2019.
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