\n\t"There is a vast strand of literature about the fact that the implied volatility of S&P-500 index options overestimate the realized volatility of the S&P-500. This relation is only reversed in serious crashes. The majority of this literature is part of the efficient markets debate. The authors try to find an explanation which is consistent with the efficient market dogma. This is from the point of view of a hedge fund quant a theological discussion. The really interesting question is how to exploit this fact."<\/p>\n
\n\tResearch paper then continues with a really practical analysis of multiple variants of hedged volatility short (put writing) trading strategy…<\/p>\n\n
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