Time for boringEuropean volatility has been crushed. Realized vol is sitting near multi-year lows, options activity has dried up and long gamma has been a painful trade.But the compression may now have gone too far. With the front end of the curve exceptionally depressed and limited room for vol to fall further, the asymmetry is starting to look increasingly attractive.
Europe Is Dead Boring. That's Why It's Time To Buy Vol
Europe has become painfully boring. Realized vol crushed. Long gamma punished. Options activity dried up. And now the front end is historically cheap. The asymmetry just flipped.
60 words~1 min read
