Analysis of short crude vol strategy performance since January 13, highlighting the impact of high realized volatility on the strategy. The memo discusses the negative effects of sharp oil price movements on a short straddle with daily delta hedging strategy and provides statistical data on realized and implied volatility.
documents/vol00010-efta01456612-pdf.pdf
{"key_people":["Daniel Sabba","Jeffrey E.","Paul Morris","Vahe Stepanian","Richard Kahn"],"document_date":"2015-02-03","document_type":"correspondence","document_subtype":"memo","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0115863","SDNY_GM_00262047","EFTA01456612"]}