Hedge funds are once more gunning their engines on the short-volatility trade – this time in zero-day options (0DTEs) – and with a downside limit.
The strategy has led to outsize losses in longer-dated instruments in the past – notably during the so-called Volmageddon crisis of 2018, sparked by an industry-wide unwind of short-vol exposure.
But this time, funds are adding caps to limit potential losses. And in zero-day options, the available premium is higher, making the short-vol strategy more
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.