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Short Volatility

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this is book on short gamma option.
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  Gaining the alpha advantage in volatilitytradingArtur Sepp artursepp@gmail.comQuantitative Investment Strategies SummitGlobal Derivatives Trading & Risk Management 2015AmsterdamMay 18, 2015 1  Headlines 1. Present some empirical evidence for short volatility strategies and thecyclical pattern of their P&L: alpha in good times, beta in bad times2. Introduce a factor model with risk-aversion to explain the risk-premiumof short volatility strategies as a compensation to bear losses in badmarket regimes3. Consider an econometric model for statistical inference of marketregimes and for optimal position sizing4. Illustrate model applications for generating alpha from volatility strate-gies 2  Short volatility strategies out-perform the benchmark CBOE indices related to short volatility strategies (not delta-hedged)The longest time series from 1986 including 87’ crash, 07’ GFC ã  Call  (BuyWrite Index): long S&P500 index and short 3m at-the-moneyindex call (quarterly re-balancing) ã  Put  (PutWrite Index): short 3m at-the-money put on S&P500Both have limited upside but unlimited downsideYet outperform the S&P500 index with higher Sharpe ratiosS&P500  Call Put Return 9.4%  +0.7% +2% Volatility 17%  × 0.72  × 0.70 Sharpe 0.53  ×  1.5  ×  1.7 3  Short volatility strategies out-perform the benchmark inthe long-term by a wide margin S&P500 Call Put1$ Value 8.2  ×  1.4  ×  2.0 󰀸󰀱󰀲󰀱󰀶  󰀱󰀤 󰁩󰁮󰁶󰁥󰁳󰁴󰁭󰁥󰁮󰁴 󰁓󰀦󰁐 󰀵󰀰󰀰 󰁩󰁮󰁤󰁥󰁸󰁃󰁡󰁬󰁬 󰁉󰁮󰁤󰁥󰁸󰁐󰁵󰁴 󰁉󰁮󰁤󰁥󰁸󰀰         󰁊      󰁵      󰁮    󰀭        󰀸        󰀶        󰁊      󰁵      󰁮    󰀭        󰀹        󰀰        󰁊      󰁵      󰁮    󰀭        󰀹        󰀴        󰁊      󰁵      󰁮    󰀭        󰀹        󰀸        󰁊      󰁵      󰁮    󰀭        󰀰        󰀲        󰁊      󰁵      󰁮    󰀭        󰀰        󰀶        󰁊      󰁵      󰁮    󰀭        󰀱        󰀰        󰁊      󰁵      󰁮    󰀭        󰀱        󰀴 4
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