The below is an excerpt from our Nov 22nd report to VP clients. One of the interesting features of this year’s bear market has been the strong performance of short AND long vol strategies. Short vol strategies have worked this year as the VIX curve has mostly been in contango (positive roll effect from selling longer-term VIX futures and buying shorter-term futures) and VIX has not spiked above 36.
Volatility forest fires yet to burn
Volatility forest fires yet to burn
Volatility forest fires yet to burn
The below is an excerpt from our Nov 22nd report to VP clients. One of the interesting features of this year’s bear market has been the strong performance of short AND long vol strategies. Short vol strategies have worked this year as the VIX curve has mostly been in contango (positive roll effect from selling longer-term VIX futures and buying shorter-term futures) and VIX has not spiked above 36.