Great article, appreciate you sharing these with the world. Do you have any pieces on vol risk premium? Research says it exists and is durable, but I'm curious how to explain it. Is it accurate to model it like other insurance products and thus sellers will only be incentivized to sell if they can make an economic return? Intuitively, it feels like the large institutions are always net buyers and are price-insensitive while the sellers are more tactical hedge fund, CTA types that don't sell without believing they have an edge.
Great article, appreciate you sharing these with the world. Do you have any pieces on vol risk premium? Research says it exists and is durable, but I'm curious how to explain it. Is it accurate to model it like other insurance products and thus sellers will only be incentivized to sell if they can make an economic return? Intuitively, it feels like the large institutions are always net buyers and are price-insensitive while the sellers are more tactical hedge fund, CTA types that don't sell without believing they have an edge.