Volatility Investing & Trading Part II

This paper is the second out of a series of three pappers entitled " A Story of Volatility Investing and Trading". in our first paper, we insisted on how options can be used to trade volatility. However those approaches, even though they are interesting from a mathematical and academic point of view, are not really efficient when used in real life. Besides all the pratical difficulties of optional approaches, the main weakness lies in the fact that such strategies do not provide pure exposure to volatility: investors have to bear other risks than vlatility, and those risks may impact their P&L independently from how the volatility has moved.