Harley Bassman · Alpha Exchange · Harley Bassman, The Convexity Maven
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Use the Move Index (a real-number implied volatility metric) to gauge market volatility and size option trades
Current Move Index for 10-year bonds ≈ 5.25; for 2-year Treasuries ≈ 115
“We began volatility targeting the portfolio ... its average volatility would be in approximately probably about a 15 vol in the 90s ... later ... to mute those kinds of responses, to make it more compatible with professional allocators”
“I would do volatility targeting at the portfolio level… if I would expect that the volatility going forward would be elevated, then I would cut the risk across the board at a portfolio level.”
“As much volatility as there is in your life, I would use the HSA.”
“Now imagine that this fund tracks something like an index. So something that has about 1% daily volatility. Now in this case, the break even return, the underlying stock is to be up, I think about 8.4% for the levered ETF and the underlier to have the same.”
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