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  • 3 years ago
Volatility Views 133: Skew Inversions and Dynamic Hedges

Volatility Views 133: Skew Inversions and Dynamic Hedges

Volatility Views 133: Skew Inversions and Dynamic Hedges
Volatility Review: The week in vol

VIX Cash: Most major indices up on the week - volatility returns to Rocktober. High - 23.08, Low - 15.56.
VIX Options: A whopping 6.14M contracts total.
OTC Volatility: Volker rule and its impact on liquidity.
VXST: When is it going to catch fire?
Oil/Energy: Strong investment skew, heavy puts activity.
Metals: An outlook on gold/silver volatility.

Volatility Voicemail: Return of the Don
Comment from Don S regarding this listener question - "Let me leave you with this question: Long term which do you think will outperform - dynamically hedged SPY ATM straddle or dynamically hedged VIX straddle? They should be roughly equivalent but clearly they are not."
Not sure anyone addressed this in a satisfactory manner.  When you dynamically hedge an ATM straddle (meaning keeping it reasonably delta-neutral throughout), you are making a bet that the implied vol at which you buy or sell the options will

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