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High Sharpe
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Self Employed former institutional proprietary trader with 20 years investing experience. Managed multi-strat equity and derivative book.
  • Yield Enhancement, The Wolf In The Night

    The other day I visited a global insurance provider. A nice visit, but what struck me were the implied interest rates on the product portfolio.

    They were low, very low. Basis points above the 30 year on that scale. It made me wonder, which is a better credit risk? The US government, or the aforementioned global provider?

    Guys are beginning to pursue yield again. What better way to enhance your yield, than to sell some options? Is this why volatility is so low? Is there an artificial level being promulgated by the institutional community? Or are we just in a period of benign demographic transition?

    Apr 22 8:49 AM | Link | Comment!
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