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選擇權賣方常常要想買便宜的保險

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沙發
 樓主| 發表於 2017-5-29 17:11:15 | 只看該作者
Most option sellers I dealt with as a market maker did not fare well (I can't imagine how you could have done well being short any risk premium in the Fall of 08). I do like selling vol myself, but on a very select class of assets where vol is unreasonably bid and I have some many other long risk premium bets on that it's a small line on the total set of strategies. The short convexity aspect bothers me too much to do it as a main business - you eat like a chicken and you shit like a pig.

May 13, 2012

SLE, elitetrader.com
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