When Volatility Markets Changed
Featuring Benn Eifert
Published on: June 25th, 2019 • Duration: 62 minutesBenn Eifert, CIO of QVR Advisors, sits down with Michael Green of Thiel Macro to reveal the massive psychological change that took place in the volatility markets in 2012. After the 2008 financial crisis, tail-risk hedge funds saw a large influx of capital - in 2012 that capital allocation flipped. Eifert explains how short-volatility strategies started exploiting volatility risk-premium to enhance portfolio yield and what that shift means for the future of volatility markets. Filmed on May 22, 2019 at the EQDerivatives conference in Las Vegas.
Tail Risk Hedging to Systematic Vol Selling
Where Do You Find the Best Vol Risk Premiums?
How Do You Measure the Changes in How Vol Is Priced?
What Does a Call Overwriting Strategy Do for a Pension Fund?
Who Are the Natural Buyers of Vol?
Will Call Overwriting from Pensions Create Another Crisis?
How Do You Manage Your Fund?
The Put Bomber