...still hearing about systematic long straddles as vol trade with E[R]>0...
But vol is actually a drag and, if E[R]>0, it's just direction
I don’t get it either. Even empirica, poster kids for long vol, don’t claim they will make money on avg. their entire pitch is “we will lose money most of the time but make a ton when it really counts.”
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Empirca famously went broke waiting for the crash. Universa is still around though.
@profplum99 cover strategies for producing positive returns while long vol in this interview I just listened.https://mutinyfund.com/mike-green-logica/ … -
Ugh I meant universa. Spitznagel’s baby.
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