Equity volatility risk premia from natural put buyers
The case was made that a structural volatility carry opportunity exists in equities because insurers and banks are natural, rational buyers of puts for regulatory and solvency reasons, paying above fair value.
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The Callback
Scaling into and out of inverse VIX
27 weeks between these two statements.
The guest argued that the proliferation of covered call strategies and structured product writing represents a systematic, yield-seeking force that distorts volatility dynamics, creating a favorable environment for long-volatility strategies on the other side.
The case was made that a structural volatility carry opportunity exists in equities because insurers and banks are natural, rational buyers of puts for regulatory and solvency reasons, paying above fair value.