Uncle Theta: The Death of Volatility – How to survive low IVs with Ratio Diagonals

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On Monday, the NIFTY closed at a new all-time-high. The India VIX, closed at an all-time-low. Is implied volatility dead?

It has certainly been bleeding since 2008 when the US Fed triggered a world-wide central bank frenzy to flood public markets with liquidity. It has been bleeding since Taleb’s Black Swan became an international bestseller. Ironically, every passing year, the market prices uncertainty lower and lower as actual volatility declines. We’ve never been in more confident times. Liquidity has become uncertainty’s nemesis, and we have to adapt and improvise new options plays to survive this death of volatility.


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