Thursday, May 18, 2017

Aaaagh...Forgot To Post Sir Mix-a-Lot On Volatility

As an accompaniment to the post immediately below, "VIX Surge Is Unwelcome Lesson in Duplicity of Volatility Wagers", a reprise of 2015's "I like… fat… tails and I cannot lie, You vol sellers can’t deny...":
From The Mercenary Trader:

Baby Got Black (Swan)
(With apologies to Sir Mix-a-Lot)
I like… fat… tails and I cannot lie
You vol sellers can’t deny
When a hot trend breaks with a well-timed stop
and a great big black swan pop you get
Paid… P&L year gets made
‘Cause you noticed that trade was packed
Buncha mean reversion suckers got jacked

Oh baby I wanna get lumpy
Long gamma for when it gets bumpy
Central banks tried to haze me,
But those carry trades just don’t faze me!...MORE