bullish

Garrett DeSimone, Head of Quantitative Research at OptionMetrics

110 Views19 Jun 2024 10:36
Podcast
SUMMARY
  • Dissertation findings show that earnings event risk premium for single stocks makes straddles punitive to own
  • Discussion on inflated S&P 500 implied volume levels before macro events like CPI, nonfarm payrolls report, and FOMC meetings
  • Recent work on implied dividends shows very little risk premium in dividends, market charging almost nothing for bearing risk of disappointing dividends

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