Ok, let's say in a 10k account I am short 2K of TVIX and the rest is in cash. Even though some short vol crowd simply hedge like this with cash, I want a separate hedge against a meltdown, not just a drawdown. So, do I use two nickel VXX OTM calls, a proportional amount of VIX calls or employ UVXY, SPX, ES or SPY calls?
Best Instruments for Hedging Short Vol
- Thread starter dcwriter2
- Start date
Sure, but why not long oil?
You can’t hedge as that’s the risk you are underwriting. You can spread it but that is a different specific view.
Yes, you ARE the hedge. And "hedging" with cash is not hedging lol.
I remember a report, a long time ago, it was about some fund or quant or someone that was going long/short volatility and doing the opposite on the underlying. So long/short VIX derivative or whatever and the opposite long/short SPY or whatever. He adjusted the ratios over time as one outperformed the other more than historically. He had some good results. Hope this helps.
I remember a report, a long time ago, it was about some fund or quant or someone that was going long/short volatility and doing the opposite on the underlying. So long/short VIX derivative or whatever and the opposite long/short SPY or whatever. He adjusted the ratios over time as one outperformed the other more than historically. He had some good results. Hope this helps.
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