The document presents a graph comparing the S&P 500 price with the volatility spread over time, highlighting significant market events such as the LTCM Collapse, 9/11 Attacks, and US Debt Downgrade. It includes a footnote explaining the strategy to monetize the positive spread of implied versus realized volatility in US index option markets.
documents/vol00010-efta01363042-pdf.pdf
{"title":"S&P 500 Price vs. Volatility Spread","document_type":"tabular","document_subtype":"graph","key_organizations":["Bloomberg LP","Harvest Volatility Management, LLC"],"reference_numbers":["EFTA01363042","DB-SDNY-0052885","SDNY_GM_00199069"]}