Hedging
Posts about hedging a portfolio — protection sizing, when to hedge, when not to hedge, and hedge effectiveness.
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How much did your hedges give back?
On a big rally week, the question I ask is how much my hedges gave back, and whether that’s about right.
What I watch before I take hedges off
After a big drop, the thing I watch before I unwind hedges is how vol behaves on the next leg down.
What pumped skew is telling you about dealers
When skew gets really pumped, it’s telling you something about what end users have already done.
The hidden cost in a risk reversal
A risk reversal hedge can be flat vega, small short gamma, and still cost you decay every day.
Hedge it so you don't have to sell it
The reason to hedge something you love is so you don't have to sell it.
Monetising a put hedge in a vol spike
A specific play from the hedge-management drawer.
If you've got a small account, don't hedge it
Something I'd say more often if I got asked more often.
Why I still pick VIX over SPX puts here
Someone asked me this week whether they should hedge a long-only book with SPX put flies or with VIX.
Protective puts are expensive optionality
Protective puts are the most expensive way to hedge a portfolio. That cost is often paid for nothing.
The current calm is a positioning artefact
The calm we've had for the last few weeks is a positioning artefact.
The S&P dealer position has flipped into OPEX
The S&P dealer position has inverted, and that changes what the drift into OPEX usually looks like.
The collar that pays you instead of charging you
The collar trade behaves differently in different asset classes. Find out why...
The two-timeframes problem options solve
The best argument for using options in a portfolio is that they let you hold two views at the same time
Why real money buys 0DTE
Big real-money asset managers buy 0DTE options
The best portfolio construction idea I ever borrowed
The best idea I ever borrowed on portfolio construction: you don't have to choose between being fully invested and being protected.
One dealer position explains both VIX mechanics
The VIX usually bleeds into its expiry. When it does go, it goes violently. The same dealer positioning explains both.
The skew is one of the best early-warning systems
The volatility skew is one of the best early-warning systems in markets.
Why pros buy options that expire worthless
Crash protection puts lose 99% of the time. Pros still buy them.
Alpha book up 3.71%: Delta did the work
Decent week. Alpha Gen book up 3.71%, almost all of it from the Delta sleeve. Long-only also recovered nicely.
The equity skew finally caught up
Last week I was banging the drum about equity skew being way too cheap.