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VolSwan Profile picture
VolSwan
@VolatilitySwan
Inefficiency Exploiter.
3 subscribers
Mar 8, 2023 • 8 tweets • 2 min read
A simple systematic tactical momentum strategy that has done great.(1/n)
Mar 8, 2023 • 6 tweets • 1 min read
Methods to managing negative convexity/tail risk while shorting vol via options. 1) Buy convexity, the most obvious thing to do but most effective. Managing a book full of uncapped negative convexity exposure Is a hassle and negative EV(if you think about the all the possible outcomes occurring.)
Jun 25, 2022 • 13 tweets • 3 min read
Vol Swan Life Alpha Threads.
Jun 25, 2022 • 18 tweets • 4 min read
Vol Alpha Threads. Why selling "high" absolute IV Is a bad idea.
Jun 19, 2022 • 11 tweets • 1 min read
How to build a successful VRP harvesting strategy (1/n) First, you MUST identify vol regimes. Which ones pay the most/least relative to the risk you inventory (2/n)
May 4, 2022 • 9 tweets • 2 min read
How to know If your strategy has an EDGE 👇 (1/n) Image First and most importantly, your strategy MUST and I mean MUST produce positive expectancy. If you don't have positively expectancy, you will lose money in the long run(law of large numbers.) No amount of discipline will overcome negative expectancy. (2/n)
Mar 1, 2022 • 5 tweets • 2 min read
Tail hedging alpha: If you want to structure almost a win, win tail hedging bet. Look for assets that are exhibiting higher relative momentum and place put ratio trades(short ATM, 2x long tails. in the backend of the curve) (1/n). 90 - 120 dte(seems the sweet spot, manage 30 - 60 days In.)
I have also noticed that equities that exhibit higher relative momentum not only breach the Implied move but often have much flatter put skew(thus causing the tails to be relatively cheaper.)(2/n)