You’re Probably Short Volatility and Don’t Realize It

I like this presentation from Nomura:

Vol Risk Premia in Equities

“Selling Vol” or Earning a Risk Premium?

The author brings up the fantastic point that if you are making a return via long stocks, long bonds etc then you are short volatility.

One of the great things he mentions is Warren Buffet when he calls derivatives “weapons of mass destruction” – but he loves selling puts. Hes cunning.

Click here to see the presentation.

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