A hot mess of index options, VIX futures, volatility ETFs and variance swaps that was supposedly delta, gamma and vega neutral but still lost money on every equity selloff (in March 2020).
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Replying to @LadyFOHF
I can’t claim that I managed it very well. I sold the liquid stuff, hedged everything else I could think of and waited until everything rolled off 
11:55 AM - 27 Oct 2021
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