@bennpeifert @goodalexander @Ksidiii @VolQuant @M1tchRosenthal what is the best product that claims to track the VIX? I know that some of these products are filled with nonsense and create lots if noise. Plz, advise. #overlevered
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If you want some constant long vol exposure you could buy VXX, short SPY, buy VXX monthly calls and roll them, buy UVXY calls and roll them, buy SPX puts etc. You’ll do well in a crash but lose money over the long run.
There’s an interesting argument that buying *really* out of the money puts on SPY is a net benefit if you also own SPY because it cuts off the tails that really hurt your compound growth rate — this is essentially what tail risk funds like Universa are trying to do.
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Also, i would have assumed everyone was buying otm spy puts after march 2020 but maybe i arrived at this naively myself. It just seems obvious and cheap.
Thanks. Twitter will use this to make your timeline better. UndoUndo
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This is an interesting argument that
@breakingthemark has written a lot about. In the end it boils down to what maximising geometric return. -
Have not seen their posts about that, will try and find them. Appreciate a link if you have one!
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The Virgin VIX call buyer seeks to have a smooth PnL, and is concerned with keeping his day-to-day portfolio variance below a certain level. The Chad SPX put buyer wants an instrument that limits his max loss so he can lever up his exposure and achieve sweet geometric returns.
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The Non Binary Phantasm simply shorts all forms of poorly priced risk premia in markets/relationships where operators are incentivized to sell tails to clip annual bonuses
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Cutting the left tail off is important indeed. My favourite way of doing it is with put spreads where you eliminate the left tail at the cost of more volatility ATM.
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That's a cool take on things Iavor
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