This article looks like a new attempt at establishing an old (but important) thesis, namely that there is a persistent volatility risk premium in options on equity index products (futures, ETFs, etc.). Most studies have attempted to define this premium in terms of option selling, and this is the first I can recall that looks at the negative returns from straddle purchases as additional evidence.
The Options Volatility Tracker Report for the week of 9/28….
A weekly breakdown of the volatility in gold, silver, equities, and oil…
A new study examines the impact of VIX options and futures on the overall volatility of the S&P 500….
There have been calls for a volatility ETF based on the popular CBOE VIX. However, there are serious questions about how such a product would work and whether it is even a good idea in the first place…
Are you a volatility trader? Did your long volatility portfolio suffer despite a rally in the VIX? If so, then you may be one of the many options traders that has been fooled by Vega. Read on for a few simple steps to understanding this common, and infuriating, problem…
Are you a volatility trader? Did your long volatility portfolio suffer despite a rally in the VIX? If so, then you may be one of the many options traders that has been fooled by Vega. Read on for a few simple steps to understanding this common, and infuriating, problem…
It may be impossible for individual options traders to accurately replicate Buffett's put sales. However, retail traders have a variety of advantages that a large institution like Berkshire Hathaway does not…
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Reconstructing Buffett's derivative positions…
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The Oracle of Omaha once famously referred to derivatives as "financial weapons of mass destruction." However, if you read the latest annual report, you will discover that Berkshire Hathaway entered into a number of long-term derivatives trades in 2007. What prompted Buffet to ignore his own warning and play with fire in the derivatives market?