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Alphawise Profile picture
Alphawise
@Alpha__wise
In search of reality among narratives in investing. Using quant + investment wisdom from great investors to generate convexity
Aug 28, 2022 • 16 tweets • 6 min read
A THREAD ON SHORT VOLATILITY STRATEGIES:

1) Short volatility strategies becomes an important part of institutional portfolios in recent years. They benefit from the "Volatility Risk Premium (VRP)", which is simply "Implied Volatility > Subsequent Realized Volatility". 2) A very easy access to ideas related to VRP can be found in this excellent paper: naaim.org/wp-content/upl…