Do you have a guess how much of your P/L in this journal will be from index vs SN vol ? I would assume the bigger edge is in index, no?
Got it, thanks! Sounds like it's more of a holistic, constructing favourable risk-reward situations kind of process than a data-driven forecasting...
First of, thanks for doing this journal, as well as all the others under your various nicks that you have done over time. I have learned a ton...
Would these be in single name or index vol? I presume the latter since the bid/ask in single names would probably make a high turnover strategy...
Separate names with a comma.