Mon Jun 30 2025

The clearing price of optionality in the market is impacted by a myriad of factors. To be sure, the economy and corporate profit cycle, the stance of monetary policy and geopolitical risk all matter. Flows in the derivatives markets are also of consequence as they impact the environment for supply and demand. And in this context, it was excellent to welcome Benn Eifert, Founder and Managing Partner of QVR Advisors, back to the Alpha Exchange. Benn brings a data-driven lens to today’s complex volatility markets, and in this conversation, he discusses the unintended consequences of crowded risk-managed option strategies, such as buffer ETFs and overwriting. We explore how structural flows have drained the volatility risk premium, especially from the front end of the curve where the flow has especially been one way, leading to substantial optionality being sold into the marketplace. Benn states that since 2012, the VRP has largely vanished, leaving the returns to owning short-dated s...