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Thought Leadership

May 01, 2020

Volatility: The Bumpy Road to Normal

As uncertainty weighs on investors, GIM’s derivatives team  examines the relationship between volatility and the volatility risk premium. Derivatives Portfolio Managers Sean Heron, CFA,  and Stacey Gilbert review seven basic truths about volatility as well as what the options market is saying about probabilities for year-end S&P 500 results. They also explain how put-write strategies could capture the volatility risk premium while contributing some downside protection.