An analysis of the performance of a short crude vol strategy since January 13, 2015, highlighting the impact of sharp moves in oil prices on the strategy. The document includes a table of contract performance metrics and a scatter plot of 13-day returns. It also provides a chart of implied volatility for NYMEX WTI 2nd month futures over the past year.
documents/vol00010-efta01456650-pdf.pdf
{"key_people":["Jeffrey"],"document_type":"correspondence","key_organizations":["NYMEX"],"reference_numbers":["DB-SDNY-0115913","SDNY_GM_00262097","EFTA01456650"]}