Volatility is back with a vengeance


The initial idea behind this article was, in fact, to exhibit the various risks and dangers of the so-called crowded trades. And, as at the beginning of 2018 the 2 most overcrowded trades on the planet were Short US Treasuries and even more widespread: short volatility, it became clear that the short vol trade would require a comprehensive study in itself. Specially because of the different behaviors of the volatilities of the different asset classes. So here it is!

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