- "Yield has been trending lower but the decline in implied vol is even more pronounced. As a result, the quality of carry (expected returns divided by implied vol) remains at very attractive levels."
- "We see a problem with tail risk. Implied vol tends to be more expensive vs future realized vols but it performs miserably when it comes to anticipating digital jumps or regime breaks."
- Conclusion – "We will buy duration on dips but look for cheap ways to own tail risk. In particular, we like buying OTM strangle or owning structures such as the progressive income locker."
- "We see a problem with tail risk. Implied vol tends to be more expensive vs future realized vols but it performs miserably when it comes to anticipating digital jumps or regime breaks."
- Conclusion – "We will buy duration on dips but look for cheap ways to own tail risk. In particular, we like buying OTM strangle or owning structures such as the progressive income locker."
No comments:
Post a Comment