50 puts on 10-year futures, along with 2k in the June 122/118 risk reversal
The CBOE Smile Index's strategy alternates between selling a strangle (sell put/sell call) when the options smile is steep, and selling a risk reversal
(sell put/buy call) when the options smile is relatively flat.
Gagnon and Chaboud (2007) documented that risk reversals
increase after episodes of presumed unwinding of carry trades, in which the Yen is sharply appreciated, meaning that investors are frightened by losses, but they also found that there is no evidence of purchase of protection through risk reversal
when carry trade positions are building up.
This risk reversal
occurred much sooner than the 15 years predicted in a 2004 report by the Surgeon General.
Medical care savings from workplace wellness programs will increase with time given that more eligible wellness program members participate, effective control of heightened risk factors improves, and greater risk reversal
can be achieved," the report says.
com/2012/11/07/vix-futures-snapshot-vol-seems-too-low/) wrote on Risk Reversal
, an options trading blog.
25-Delta Risk Reversal
, the most widely used parameter in gauging market direction
There was a bit of risk reversal
ahead of the G20 meeting," said a currency trader based in London.
We present a diagonal risk reversal
on Gazprom, which would benefit from a short-term market surge.
The "less than full" risk reversal
following treatment reinitiation in the drug conservation group could be a consequence of a lower average CD4 cell count and the increased number of patients with detectable viral load, which was likely associated with a failure to resume continuous therapy as recommended, Dr.
Together with the financial risk reversal
they constitute a medium-term reduction in overall risk, which can be seen as being inversely related to the interest rate risk.