Alpha Exchange RoR: Reflections on Risk
26 snips
Sep 15, 2025 Dive into the fascinating world of volatility, where low SPX realized volatility can trick investors into underestimating risk. Discover a 5-part framework assessing the worth of market insurance and learn about proxy hedges offering great value in current markets. The GOAT portfolio shines with its mix of gold, Bitcoin, and strategic options to mitigate risks. Lastly, unravel the complexities of options trading and the critical role of market signals, cautioning against over-relying on transient asset correlations. A thought-provoking discussion awaits!
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Jumper Cable Mishap As Risk Lesson
- Dean recalls reversing jumper cables on an old car to illustrate risk from not knowing what you're doing.
- He links that to sizing mistakes when volatility spikes and forces unwinds.
Low, Stable, Down-Day Skew In SPX Vol
- SPX realized vol is low, lower on down days, and unusually stable around 10% over two months.
- This steady calm can mislead investors into underestimating future risk and letting guards down.
Five-Part Framework For Evaluating Option Insurance
- Evaluate option insurance by comparing SPX vol to history, other strikes, carry, proxies, and forward risks.
- Use this five-part framework before deciding whether options are 'worth it.'
