...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
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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/ …
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long story short, you have to scalp enough gamma to pay for the options. Logica is also attempting to capture drift.
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“scalping gamma” = making money on your delta hedges. fine, but you need to make enough to compensate for theta, which you won’t on average unless you are very good at predicting realized vol. “capture drift” = adding a beta overlay, again fine but that comes with downside!
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