Hedge funds pile into short volatility QIS options
New twist on capturing vol premium remains popular despite mixed performance in August vol spike
Hedge funds think they’ve found a way to remove the tail risk from short volatility strategies, which try to capture the small-but-persistent gap between implied and realised market gyrations.
The strategy is often likened to picking up pennies in front of a steamroller, given the huge downside when it goes awry. Taking the steamrollers out of the equation has been the holy grail for investors and
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