November 4, 2024 (NO COMMENTS)

Hedge funds think they’ve found a way to remove the tail risk from short volatility strategies, which try to capture the small-but-persistent gap between implied and realised market gyrations. The strategy is often likened to picking up pennies in front of a steamroller, given the huge downside when it goes awry. Taking the steamrollers out of the equation has been the holy grail for investors and bank structuring teams alike. Now, some in the market say they have figured out a way to do just