Selvala: VIX spikes let systematic volatility sellers collect higher premiums
Rick Selvala · Rick Selvala - Harvesting Volatility (Capital Allocators, EP.41) · Feb 26, 2018 · at 38:00
Rick Selvala, CEO of Harvest Volatility Management, explains how disciplined option strategies like iron condors benefit from replacing expired positions during periods of elevated volatility.
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“When there is a storm, it's not good for the policies you've already written, but it's very good for the policies you you're about to write. And if you are sort of a systematic volatility seller with guardrails, like the iron condor strategy, then those VIX spikes aren't good for the positions you've already written, but they're also decaying. And as you replace those structures with new structures, you know, you benefit from higher vol leads to wider bands. Leads to more premium collected, and leads to fairly rapid recovery, so you're back on track again.”
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