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Normal brain: there is a variance risk premia to be earned Genius brain: volatility can only go down Galaxy brain: ~*~ volatility might go negative ~*~pic.twitter.com/CaK7MomC9J
This is from the WSJ write up of Infinity Q Diversified Alpha, the mutual fund that misvalued a bunch of weird equity derivatives to hide a $500m losshttps://www.wsj.com/articles/behind-the-mysterious-demise-of-a-1-7-billion-mutual-fund-11618911000 …
One of the misvaluations was, uh, marking a profit on a variance swap position that would only have been possible if volatility had traded negative 
Question for you: if the underlying asset defaults, does the volatility go to zero?pic.twitter.com/L0YbIgmRU0
Since volatility is the square root of the variance, if variance went negative, we could even have imaginary vol! Imagine that.
Those damn theta gangers not gonna know what hit em
"Do you even square root, bro?"
S&P500 vol can't go to zero, and that is why I like Private Equity better. No vol.
Spoken like a true institution!
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