Part 62 — The math, the history, and why XIV blew up
I just wrote a follow-up post on this — tested a few things to see if there’s any way to reduce the risk exposure in a short vol strategy.
Great write up 👍
I agree. I actually spent last night and this morning running some simulations on allocation and if we could use Greeks to offset some of the risk (with some success).
https://kniyer.substack.com/p/can-second-order-greeks-save-your
I just wrote a follow-up post on this — tested a few things to see if there’s any way to reduce the risk exposure in a short vol strategy.
Great write up 👍
I agree. I actually spent last night and this morning running some simulations on allocation and if we could use Greeks to offset some of the risk (with some success).
https://kniyer.substack.com/p/can-second-order-greeks-save-your