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  • 4 years ago
Volatility Views 96: Harvesting Volatility Risk Premium

Volatility Views 96: Harvesting Volatility Risk Premium

Volatility Views 96: Harvesting Volatility Risk Premium
Volatility Review: An ugly, ugly day across the board for Vol. S&P down 2%. VIX settlement last Wednesday. What is it about Feb that brings out the VIX call buyers en masse?
Volatility Viewpoint: Today’s guest is Scott Maidel, Senior Portfolio Manager of Equity Derivatives at Russell Investments.
They discuss:

Short volatility strategies & framework
An update on the call overriding portfolio
Why does a volatility risk premium exist?
Is volatility an asset class?
What are alternatives for managing portfolio volatility?
Strategy construction techniques for harvesting volatility risk premium
Will implied volatility underperform realized volatility in the coming months?
What are some favorite tools/products/techniques for capturing implied vs. realized?
How does the volatility premium in products like RVX differ from traditional S&P volatility products?
The ideal use case for a volatility product like VIX/RVX?

Crystal Bal

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