Disrespecting the Tail (guest: Dean Curnutt)
The Market Huddle
00:00
Taking a Risk Limited Approach to Selling Volatility
The option on variance was an enabler of as a trading strategy. So you could effectively put down some premium. And if it went horribly wrong the bet, you just lose your premium. But at the time, like we know now, like from the VIX curve that that trade is priced to kind of put in there the decay that we're going to get in the VIX.
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