COVID-19 Crash: Tail Hedge and the Convexity within IV

Put options are one of the main tools used in hedging against a black-swan event, a market crash with unpredictable cause and severe impact.The recent COVID-19 market crash where the SPY crashed 33% from 340 to 228 is an example of a black-swan event. Unpredictable with severe impact. Almost all…

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