@pat_hennessy @Isa90495157 @Reveretrading @SqueezeMetrics 1)Yes. I agree. To me it seems like common sense. If you are buying puts, you are buying them for a spec or a hedge, especially in the US where the skew is significantly higher than the rest of the world and historically caries a significant risk premium. There is lots of analysi
@pat_hennessy @Isa90495157 @Reveretrading @SqueezeMetrics 2) that basically shows that 90%+of HF ‘alpha’ can be explained by short put exposure. Every quant, prop, and HF I know has some version of the high sharpe/ negative tail trade on with some tail cutting trigger built in. Why wouldn’t you, especially if the Fed has your back.
@pat_hennessy @Isa90495157 @Reveretrading @SqueezeMetrics 3/This is mostly anecdotal evidence, but in the absence of empirical evidence, I have been trading these markets as a major player for decades & my ML models definitely see the flow. My view is the market is increasingly a series of leveraged carry trades, Harvesting risk premium
@pat_hennessy @Isa90495157 @Reveretrading @SqueezeMetrics 4)Investing risk cannot be created or destroyed. It can only be transformed from one form of risk to another. The world has increasingly shifted all risk to the tail. This is a result of the moral hazard created by the Fed and all Global RB’s
