Re:Offline Algorithms in Low-Frequency Trading
by kgwgk on Saturday January 30, 2021 @09:57AM
(#25969557)
https://www.daytrading.com/selling-volatility
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Re:Offline Algorithms in Low-Frequency Trading
by WJW on Saturday January 30, 2021 @10:21AM
(#25969760)
There's a fantastic quote in the book about the LTCM fiasco ("When genius failed") about how academics always want to short volatility because they have view of how society "should be" and it is not very volatile. IIRC, the quote was by some old grizzled options trader who used to have the same view but had been bitten often enough to internalize that volatility is much more common than beginners think.