Long Vol and Short Vol

Option selling has always been a fascination for me, and long time readers may recall a lot of the posts I used to do on the subject years ago.  (07 – Are option selling funds a blowup waiting to happen, and 2008 – Kablooey.)

I could never understand why most option sellers only traded one market (usually US stocks) rather than a portfolio of world markets.  In a project I did back in the early ’00s I found that writing options away from the direction of the trend on a diversified asset class basket created some great numbers.

Kudos to Jared at Condor Options for tracking such a strategy in real time - lots of merit in a short vol strategy with long vol trading rules!

 
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