With recent market volatility and devastating performance of several short VIX ETPs, volatility strategies have come under the spotlight. This spotlight has muddled many short volatility strategies together and failed to discern key characteristics of different approaches. One specific comparison which warrants comment is Cash-Secured PutWrite and short VIX ETPs. In this whitepaper, we demonstrate that these two strategies have definitively different risk-return profiles and different dependencies on a low-vol environment.
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