How to use the volatility term structure to improve your Sharpe Ratio
As the ski season hits its stride in the northern hemisphere, Sharpe Two finds itself stationed in Mexico City, perched at an altitude of 2250 meters. Yet, despite the elevation,
Finding Sharpe 2+ opportunities in a low volatility regime.
Lately, the low volatility regime has been testing the coping mechanisms of volatility traders. With few exceptions outside the equity space - like our recent DBA trade - those leaning
Let's narrow the gap between pro and retail traders
I knew a guy - let’s call him Jack - who killed it at the prop house I joined in London in the spring of 2011. A few months
The VIX is broken. Really?
The VIX index is, without a doubt, the go-to barometer for equity market sentiment. Often dubbed the 'fear gauge,' the VIX reflects the demand for out-of-the-money options on
How to construct a Long/Short volatility trade in corporate bonds?
The long-short strategy, where one asset is bought, and a similar one is sold, is a staple in the finance world. This technique traces back to 1949 with Alfred Winslow
EEM's Volatility Play - Sharpe Ratio 1.6 Win Rate 73%
At Sharpe Two, our strategy is to identify opportunities in the volatility space that demand minimal intervention. We dedicate our efforts to scouting situations where the premium investors pay notably
Blending IV Rank and VRP: A Path to Sharpe 2+ in Options Trading
If you've been with Sharpe Two from the start, you may have noticed that we've never featured a technical analysis chart. Spoiler alert: that will never
Don't Get too Close to Gamma
It's the final countdown to Christmas, and we're unwrapping a bounty of gifts for you this week. If you haven't subscribed yet, don'
Predicting direction is hard
What to expect - a less technical piece but a deeper intuitive understanding of how Sharpe Two approaches volatility trading. What's a common trait among retail traders and