Volatility and Its Derivative

Savvy comment from Emanuel Derman on the current quant fervor:

It always seemed to me, and recent occurences seem to confirm it, that
most algorithmic trading strategies are long volatility but short
volatility of volatility.

Nicely put.

Related posts:

  1. Stock Volatility: Uphill, Both Ways?
  2. Petrodollars, Market Volatility, and Home R&D
  3. The Quant Understatement of the Day
  4. An Investment Book Worth Buying
  5. Citadel, Sensitive Data, and Plusfunds’ Bankruptcy

Comments

  1. John Forman says:

    It’s a very good statement. The academic sorts (and let’s face it, the PhDs running the models at the quant funds are exactly that) will tell you that volatility is the thing in the markets that most tends to persist.