http://seekingalpha.com/article/528801-the-2-best-options-strategies-according-to-academia http://www.cboe.com/micro/buywrite/Pap-AssetConsultingGroup-CBOE-Feb2012.pdf http://papers.ssrn.com/sol3/papers.cfm?abstract_id=873639
Oldtime, I am not sure if your post is related to my question? What I am asking is if there is more hedge in being short SPX put or short VIX futures.
Yeah, index vol is richer then single name vol because of its macro nature. If you'd speak in insurance terms, it's a global event risk that you can not diversify away. Inability to diversify that risk away is the reason why funds and banks try to stay away from that business - for them, a year that can wipe out 2-3 years of P&L is disastrous, while for a guy selling 10-delta SPYs from home it's a part of his business model.
hey man, I don't know anything about options and don't pretend to. VIX, SPX, all the same to me. I know just a little itty bit about edge. your life and mine would go better if you stopped using that word If you want edge, buy a casino
They are very different - one is a risk of a large realized move, while the other is the risk of "risk perception".
Thanks Sle, How can I compare the two risks historically? Is comparing the volatility of the PUT index vs the VIX would make sense?
hi could you explain, were you selling ATM > calls or puts, wereyou highly levered ? everything eventually has its losses...
yeah, as sle said vix futures and spx puts are different. with vix futures you are betting that implied vol drops. with spx puts (hedged) you are betting that implied vol is above realized vol. but vix options? those have a variance premium as well. so the implied vol of implied vol tends to be above the realized vol of implied vol.
But when I sell put naked and roll or short VIX futures and roll, I guess I am betting on the fact that SPX options are overpriced?