A few years ago, while in the last year of my PhD at Stanford, I published this blog post on using VIX calls to hedge against severe market downturns. The full report from the quantitative finance class (MSE448) I was taking used to be available online and generated some interesting conversations, but I can no longer find it hosted by Stanford. So I’m posting a copy of the PDF here!
This also deserves an update with the recent market volatility factored into it. With any luck, I’ll get around to it.