macrocephalopod

...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.”

Ugh I meant universa. Spitznagel’s baby.

long story short, you have to scalp enough gamma to pay for the options. Logica is also attempting to capture drift.

“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!