Is short vol taking the long count?

Short volatility players try to box clever after strategy’s Covid rout

It’s been a bruising experience for the likes of Frank Maeba. March 2020’s dramatic selloff in equity markets – and subsequent rally to today’s record highs – came as a body blow to the Neuberger Berman volatility expert. As they did to many managers grappling with the risk-reward profile of selling vol in unparalleled conditions.

“When it comes to risk management for short vol, I think risk models were calibrated for a 2008/2009 type event,” says Maeba. “But just seeing vol go up to 80 and, in

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