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Archive for Month: November 2017

Sell Duration To Hedge Equities

Yes, you read that right. The risk asset market today is one very highly levered yield trade. Whether you look at FAANGs, Nasdaq, EM equities, High Yield, short volatility strategies or even long Treasury bonds, the juice that keeps asset price appreciation going is the low level of yields. Common […]

Here Comes the Melt Up! Spot Up, Vol Up

Option traders implicitly believe that when the stock market goes up, volatility falls, and when the stock marketfalls, volatility rises. This assumption, which is based on years of empirical data, is implicit in many of the volatility-based strategies that have become common place today. To mention a few: volatility targeting, […]