唔認同係short volatility
最直觀既就係volatility升既時候兩邊short既premium會更多
你可以話volatility升 potentially佢會偏離上次rebalance既位令到佢輸錢
maybe但數據上兩邊short既return的確同VIX成正比
個原因係佢波動大到真係令你兩邊short一直豬係rare event黎(呢d用IV去計/sim就計到)
而兩邊short既最佳leverage ratio同QQQ long term optimal leverage ratio係咪應該一樣 我幾肯定唔係
backtest (e.g.
https://lih.kg/bxrhzBV )顯示得幾清楚
個optimal return係三四五六七倍都未見到盡頭
就算你take into consideration可動用margin + 借卷成本呢d限制
個optimal leverage至少係遠超過3倍
而唔係指數optimal leverage既2.x倍