Any chance StdDev around the mean, IMO, is the return, not the price? and you will assume short term stock return has a 0 of mean so you can...
Wonder what's the sharpe now for them :)
I think this strategy might works better in low vol environment. So you are taking the advantage of VIX reverting upward to historical mean as...
I think he means The Sharpe" has been 11 or 12
Only downside seems to be that XSP is not as liquid as SPX/SPXW options, you will get pretty wide bid/ask. IMHO SPY Options might be a better...
Can you shed some light on the Defi/Cefi arbitrage? Sounds very interesting. Thank you.
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